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~person:"Herwartz, Helmut"
~subject:"Arbeitsmarkt"
~subject:"Konjunktur"
~subject:"Schätzung"
~type_genre:"Working Paper"
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Herwartz, Helmut
McAleer, Michael
52
Caporale, Guglielmo Maria
29
Hautsch, Nikolaus
29
Pierdzioch, Christian
29
Buch, Claudia M.
27
Gupta, Rangan
23
Döpke, Jörg
21
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20
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20
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19
Belke, Ansgar
19
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18
Pesaran, M. Hashem
17
Marcellino, Massimiliano
16
Chang, Chia-Lin
15
Fernández-Villaverde, Jesús
15
Haltiwanger, John C.
15
Koopman, Siem Jan
15
Mumtaz, Haroon
15
Ours, Jan C. van
15
Stüber, Heiko
15
Winter-Ebmer, Rudolf
15
Castelnuovo, Efrem
14
Clark, Todd E.
14
Rodriguez, Gabriel
14
Asai, Manabu
13
Bender, Stefan
13
Caggiano, Giovanni
13
Conrad, Christian
13
Hafner, Christian M.
13
Lalé, Etienne
13
Bos, Charles S.
12
Carriero, Andrea
12
Jaimovich, Nir
12
Visschers, Ludo
12
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11
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11
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11
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11
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
4
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
6
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4
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1
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12
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1
A structural approach to identify financial transmission in distinguished scenarios of crises
Herwartz, Helmut
;
Roestel, Jan
-
2018
behind narrative sign restrictions and allows to extract time varying contemporaneous effects and
volatility
transmission … from conventional reduced form
volatility
models with dynamic correlations. We find the market value of banking …
Persistent link: https://www.econbiz.de/10011903210
Saved in:
2
Measuring spot variance spillovers when (co)variances are time-varying : the case of multivariate GARCH models
Fengler, Matthias
;
Herwartz, Helmut
-
2015
Persistent link: https://www.econbiz.de/10011717132
Saved in:
3
On the (nonlinear) relationship between exchange rate uncertainty and trade: An investigation of US trade figures in the Group of Seven
Herwartz, Helmut
-
2003
forecasts gain from conditioning on
volatility
. Empirical results support the view that the relationship of interest might be …
Persistent link: https://www.econbiz.de/10010296439
Saved in:
4
On the (nonlinear) relationship between exchange rate uncertainty and trade : an investigation of US trade figures in the Group of Seven
Herwartz, Helmut
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001918978
Saved in:
5
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:
6
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:
7
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:
8
Multivariate
volatility
models
Fengler, Matthias R.
;
Herwartz, Helmut
-
2001
Persistent link: https://www.econbiz.de/10001659915
Saved in:
9
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
Persistent link: https://www.econbiz.de/10001631316
Saved in:
10
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.
;
Herwartz, Helmut
-
1999
Persistent link: https://www.econbiz.de/10001413478
Saved in:
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