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type_genre:"Article in journal"
~person:"Herwartz, Helmut"
~subject:"Volatilität"
~type_genre:"Multi-volume publication"
~type_genre:"Reprint"
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Volatilität
Theorie
43
Theory
43
Time series analysis
15
Zeitreihenanalyse
15
Volatility
10
ARCH model
9
ARCH-Modell
9
Forecasting model
9
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9
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8
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7
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Herwartz, Helmut
McAleer, Michael
22
Gupta, Rangan
21
Bollerslev, Tim
20
Andersen, Torben
15
Asai, Manabu
15
Wang, Yudong
13
Renault, Eric
12
Caporin, Massimiliano
11
Westerhoff, Frank H.
11
Yu, Jun
11
Aït-Sahalia, Yacine
10
Chan, Joshua
10
Ghysels, Eric
10
Mele, Antonio
10
Bekaert, Geert
9
Caporale, Guglielmo Maria
9
Diebold, Francis X.
9
Escobar, Marcos
9
Fouque, Jean-Pierre
9
Maheu, John M.
9
Meddahi, Nour
9
Pierdzioch, Christian
9
Tauchen, George Eugene
9
Taylor, Robert
9
Wohar, Mark E.
9
Hafner, Christian M.
8
Härdle, Wolfgang
8
Koopman, Siem Jan
8
Papanicolaou, George
8
Rodriguez, Gabriel
8
Sircar, Kaushik Ronnie
8
Todorov, Viktor
8
Wu, Chongfeng
8
Zhang, Wei
8
Carr, Peter
7
Cavaliere, Giuseppe
7
Christoffersen, Peter F.
7
Fabozzi, Frank J.
7
Gallo, Giampiero M.
7
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Oxford bulletin of economics and statistics
2
Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
1
Economics letters
1
Journal of econometrics
1
Journal of empirical finance
1
Journal of international money and finance
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ECONIS (ZBW)
10
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1
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10
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10
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1
Asymmetric volatility impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Economics letters
222
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014232851
Saved in:
2
Inflation targeting under inflation uncertainty : multi-economy evidence from a stochastic volatility model
Hartmann, Matthias
;
Herwartz, Helmut
;
Ulm, Maren
- In:
Macroeconomic dynamics
26
(
2022
)
5
,
pp. 1302-1337
Persistent link: https://www.econbiz.de/10013270236
Saved in:
3
Identification of structural multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
;
Maxand, Simone
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 212-227
Persistent link: https://www.econbiz.de/10013441647
Saved in:
4
Measuring spot variance spillovers when (co)variances are time-varying : the case of multivariate GARCH models
Fengler, Matthias
;
Herwartz, Helmut
- In:
Oxford bulletin of economics and statistics
80
(
2018
)
1
,
pp. 135-159
Persistent link: https://www.econbiz.de/10011969544
Saved in:
5
Simulation evidence on theory-based and statistical identification under volatility breaks
Herwartz, Helmut
;
Plödt, Martin
- In:
Oxford bulletin of economics and statistics
78
(
2016
)
1
,
pp. 94-112
Persistent link: https://www.econbiz.de/10011494636
Saved in:
6
A dynamic copula approach to recovering the index implied volatility skew
Fengler, Matthias R.
;
Herwartz, Helmut
;
Werner, Christian
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
3
,
pp. 457-493
Persistent link: https://www.econbiz.de/10009571516
Saved in:
7
Econometric analysis of high frequency data
Herwartz, Helmut
- In:
Allgemeines statistisches Archiv : AStA ; journal of …
90
(
2006
)
1
,
pp. 89-104
Persistent link: https://www.econbiz.de/10003285327
Saved in:
8
Volatility impulse responses for multivariate GARCH models : an exchange rate illustration
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Journal of international money and finance
25
(
2006
)
5
,
pp. 719-740
Persistent link: https://www.econbiz.de/10003404968
Saved in:
9
Time inhomogenous multiple volatility modeling
Härdle, Wolfgang
;
Herwartz, Helmut
;
Spokojnyj, Vladimir G.
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
1
,
pp. 55-95
Persistent link: https://www.econbiz.de/10002220931
Saved in:
10
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Journal of empirical finance
8
(
2001
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10001568288
Saved in:
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