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Short selling constraints and stock returns volatility : empirical evidence from the German stock market

Bohl, Martin T.; Reher, Gerrit; Wilfling, Bernd - In: Economic modelling 58 (2016), pp. 159-166

Persistent link: https://www.econbiz.de/10011647079

Bayesian semiparametric multivariate stochastic volatility with application

Zaharieva, Martina Danielova; Trede, Mark; Wilfling, Bernd - In: Econometric reviews 39 (2020) 9, pp. 947-970

Persistent link: https://www.econbiz.de/10012295590

A new stock-price bubble with stochastically deflating trajectories

Rotermann, Benedikt; Wilfling, Bernd - In: Applied economics letters 25 (2018) 15, pp. 1091-1096

Persistent link: https://www.econbiz.de/10012132351

Are multifractal processes suited to forecasting electricity price volatility? : evidence from Australian intraday data

Segnon, Mawuli; Lau, Chi Keung; Wilfling, Bernd; Gupta, … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 1, pp. 73-98

Persistent link: https://www.econbiz.de/10013334628

Forecasting stock market volatility with regime-switching GARCH-MIDAS : the role of geopolitical risks

Segnon, Mawuli; Gupta, Rangan; Wilfling, Bernd - In: International journal of forecasting 40 (2024) 1, pp. 29-43

Persistent link: https://www.econbiz.de/10014450235

Spot market volatility and futures trading : the pitfalls of using a dummy variable approach

Bohl, Martin T.; Diesteldorf, Jeanne; Salm, Christian; … - In: The journal of futures markets 36 (2016) 1, pp. 30-45

Persistent link: https://www.econbiz.de/10011567524

Wechselkursdynamik im Vorfeld einer Währungsunion / Exchange Rate Dynamics Prior to Monetary Union

Wilfling, Bernd - In: Jahrbücher für Nationalökonomie und Statistik 218 (1999) 1-2, pp. 23-44

Zusammenfassung Die vorliegende Arbeit analysiert die Wechselkursdynamik eines glaubwürdig angekündigten, zeitlich fest anvisierten Übergangs von flexiblen zu festen Wechselkursen auf der Grundlage eines monetären Wechselkursmodells mit flexiblen Preisen. Verschiedene währungspolitische...

Persistent link: https://www.econbiz.de/10014608650

An approach to increasing forecast‐combination accuracy through VAR error modeling

Weigt, Till; Wilfling, Bernd - In: Journal of Forecasting 40 (2020) 4, pp. 686-699

Persistent link: https://www.econbiz.de/10012406758

The valuation of European call options on zero-coupon bonds in the run-up to a fixed exchange-rate regime

Reher, Gerrit; Wilfling, Bernd - In: International Review of Economics & Finance 29 (2014) C, pp. 483-496

We analyze the dynamics of zero-coupon bond options in a situation in which the currently floating exchange rate between two countries' currencies is announced to be fixed on a given future date. To this end, we combine two strands of research that have been treated as separate issues up to...

Persistent link: https://www.econbiz.de/10010729763

Periodically collapsing Evans bubbles and stock-price volatility

Rotermann, Benedikt; Wilfling, Bernd - In: Economics Letters 123 (2014) 3, pp. 383-386

This paper analyzes stock-price volatility in the presence of periodically collapsing Evans bubbles. We derive a volatility formula that establishes a link between the bubble component and stock-price volatility. We demonstrate how to fit the volatility equation to stock-market data.

Persistent link: https://www.econbiz.de/10010776615