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~person:"Hafner, Christian M."
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Hafner, Christian M.
Aboura, Sofiane
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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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
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.
;
Herwartz, Helmut
-
Sonderforschungsbereich 373, Quantifikation und …
-
1999
:
leverage
effect
, and conditional leptokurtosis. Our analysis covers both a continuous and discrete time framework. The results …
Persistent link: https://www.econbiz.de/10010956419
Saved in:
3
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.
;
Herwartz, Helmut
-
1999
:
leverage
effect
, and conditional leptokurtosis. Our analysis covers both a continuous and discrete time framework. The results …
Persistent link: https://www.econbiz.de/10010310007
Saved in:
4
Discrete time option pricing with flexible volatility estimation
Hafner, Christian M.
;
HÄrdle, Wolfgang
- In:
Finance and Stochastics
4
(
2000
)
2
,
pp. 189-207
pronounced
leverage
effect
, simulated threshold GARCH option prices are substantially closer to observed market prices than the …
Persistent link: https://www.econbiz.de/10005759645
Saved in:
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