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~person:"Allen, David E."
~person:"Herwartz, Helmut"
~person:"Spagnolo, Nicola"
~subject:"Germany"
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Search: subject:"volatility"
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Germany
Volatilität
196
Volatility
187
Börsenkurs
64
Schätzung
63
ARCH-Modell
60
Estimation
60
Share price
59
ARCH model
58
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Kapitaleinkommen
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Internationaler Finanzmarkt
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United States
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Ansteckungseffekt
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Volatility spillovers
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Deutschland
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English
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Allen, David E.
Herwartz, Helmut
Spagnolo, Nicola
Zimmermann, Klaus F.
28
Bachmann, Ronald
25
Bellmann, Lutz
25
Bender, Stefan
25
Döpke, Jörg
22
Pierdzioch, Christian
22
Buch, Claudia M.
21
Winkelmann, Rainer
21
Mertens, Antje
20
Bauer, Thomas K.
17
Burda, Michael C.
15
Schnabel, Claus
15
Fitzenberger, Bernd
14
Härdle, Wolfgang
14
Findeisen, Sebastian
13
Frick, Bernd
13
Pfeifer, Christian
13
Boockmann, Bernhard
12
Fengler, Matthias R.
12
Knuth, Matthias
12
Dauth, Wolfgang
11
Dustmann, Christian
11
Erlinghagen, Marcel
11
Rothe, Thomas
11
Vermeulen, Philip
11
Bachmann, Ruediger
10
Bollerslev, Tim
10
Bönke, Timm
10
Dias, Daniel
10
Dossche, Maarten
10
Gautier, Erwan
10
Grund, Christian
10
Hernando, Ignacio
10
Hübler, Olaf
10
Liesenfeld, Roman
10
Schneck, Stefan
10
Seth, Stefan
10
Stüber, Heiko
10
Bayer, Christian
9
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
3
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
6
Discussion papers of interdisciplinary research project 373
3
Applied quantitative finance
2
Applied quantitative finance : theory and computational tools
1
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
1
International Journal of Monetary Economics and Finance
1
Jahrbücher für Nationalökonomie und Statistik
1
Journal of applied economics
1
Journal of empirical finance
1
Statistica Neerlandica : journal of the Netherlands Society for Statistics and Operations Research
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ECONIS (ZBW)
17
RePEc
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1
State dependence of aggregated risk aversion : evidenve for the German stock market
Hansen, Marc
;
Herwartz, Helmut
;
Rengel, Malte
- In:
Journal of applied economics
17
(
2014
)
2
,
pp. 257-281
Persistent link: https://www.econbiz.de/10011554687
Saved in:
2
Multivariate
volatility
models
Fengler, Matthias
;
Herwartz, Helmut
;
Raters, F. H. C.
- In:
Applied quantitative finance
,
(pp. 25-37)
.
2017
Persistent link: https://www.econbiz.de/10011794951
Saved in:
3
Stock market, economic growth and EU accession: evidence from three CEECs
Caporale, Guglielmo Maria
;
Spagnolo, Nicola
- In:
International Journal of Monetary Economics and Finance
5
(
2012
)
2
,
pp. 183-191
in most cases for
volatility
spillovers as well. In addition, Germany is confirmed to act as a locomotive for these …
Persistent link: https://www.econbiz.de/10010669724
Saved in:
4
Option pricing under time varying correlation with conditional dependence : a copula based approach to recover the index skew from the constituent dynamics
Fengler, Matthias R.
;
Herwartz, Helmut
;
Werner, Christian
-
2010
Persistent link: https://www.econbiz.de/10009240321
Saved in:
5
Multivariate
volatility
models
Fengler, Matthias R.
;
Herwartz, Helmut
-
2001
Multivariate
Volatility
Models belong to the class of nonlinear models for financial data. Here we want to focus on …
Persistent link: https://www.econbiz.de/10009615423
Saved in:
6
Empirical modeling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications
Herwartz, Helmut
;
Reimers, Hans-Eggert
-
2001
- 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for
volatility
e1ustering … prices. Having identified subperiods of homogeneous
volatility
dynamics we concentrate on stylized facts to distinguish these …
volatility
regimes. The bottom level of estimated
volatility
turns out be considerably higher during the second part of the …
Persistent link: https://www.econbiz.de/10009616784
Saved in:
7
Multivariate
volatility
models
Fengler, Matthias R.
;
Herwartz, Helmut
- In:
Applied quantitative finance
,
(pp. 313-326)
.
2009
Persistent link: https://www.econbiz.de/10003746416
Saved in:
8
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.
;
Herwartz, Helmut
-
1999
prices caused by stochastic
volatility
. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …
Persistent link: https://www.econbiz.de/10009580460
Saved in:
9
Multivariate
volatility
models
Fengler, Matthias R.
;
Herwartz, Helmut
- In:
Applied quantitative finance : theory and computational …
,
(pp. 221-236)
.
2002
Persistent link: https://www.econbiz.de/10001749997
Saved in:
10
Multivariate
volatility
models
Fengler, Matthias R.
;
Herwartz, Helmut
-
2001
Persistent link: https://www.econbiz.de/10001659915
Saved in:
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