The volatility clustering observed in financial market data implies that large net yield shocks increase the probability of a higher future volatility during the price formation. Starting from the ARCH models which were suggested by Engle (1982), a range of models for conditional variances have...

In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...

Eine Methode, um das systematische und unsystematische Risiko sowie den Einfluss externer Einflussfaktoren auf Aktienrenditen zu bestimmen, ist die Zerlegung der Varianz von Aktienrenditen. Allerdings waren die bisher angewendeten Methoden der Varianzzerlegung nur unzureichend dazu geeignet,...