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  • Search: subject:"Constant Mean Model"
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Year of publication
Subject
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ARCH 3 BEKK-GARCH 3 Backtesting 3 Bootstrapping 3 CCC-GARCH 3 Conditional Volatility 3 Constant Mean Model 3 DCC-GARCH 3 EWMA 3 GARCH 3 GJR-GARCH 3 Heteroskedasticity 3 IGARCH 3 Mandelbrot 3 Misspecification Test 3 Multivariate Volatility Model 3 Stylized Facts 3 Univariate Volatility Model 3 Value at Risk 3 Volatility Clustering 3
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Online availability
All
Free 2
Type of publication
All
Book / Working Paper 3
Type of publication (narrower categories)
All
Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
All
German 2 Undetermined 1
Author
All
Cremers, Heinz 3 Krasnosselski, Nikolai 3 Sanddorf, Walter 3
Institution
All
Frankfurt School of Finance and Management 1
Published in...
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Frankfurt School - Working Paper Series 2 Working paper series / Frankfurt School of Finance & Management 1
Source
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ECONIS (ZBW) 1 EconStor 1 RePEc 1
Showing 1 - 3 of 3
Cover Image
Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...
Persistent link: https://www.econbiz.de/10010331352
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Cover Image
Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - Frankfurt School of Finance and Management - 2014
The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...
Persistent link: https://www.econbiz.de/10010985133
Saved in:
Cover Image
Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität : ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...
Persistent link: https://www.econbiz.de/10010237661
Saved in:
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