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Nonparametric smoothing and quantile estimation in time series

Abberger, Klaus - In: Risk measurement, econometrics and neural networks : …, (pp. 1-16). 1998

Persistent link: https://www.econbiz.de/10001305364

Weekday dependence of German stock market returns

Herwartz, Helmut - 1999

Persistent link: https://www.econbiz.de/10001404961

Structural analysis of portfolio risk using beta impulse response functions

Hefner, Christian M.; Herwartz, Helmut - In: Statistica Neerlandica : journal of the Netherlands … 52 (1998) 3, pp. 336-355

Persistent link: https://www.econbiz.de/10001352924

Quantile smoothing in financial time series

Abberger, Klaus - In: Statistical papers 38 (1997) 2, pp. 125-148

Persistent link: https://www.econbiz.de/10001224253

State dependence of aggregated risk aversion : evidenve for the German stock market

Hansen, Marc; Herwartz, Helmut; Rengel, Malte - In: Journal of applied economics 17 (2014) 2, pp. 257-281

Persistent link: https://www.econbiz.de/10011554687

Structural analysis of portfolio risk using beta impulse response functions

Hafner, Christian M.; Herwartz, Helmut - 1998

Persistent link: https://www.econbiz.de/10000992252

Multivariate volatility analysis of VW stock prices

Herwartz, Helmut; Lütkepohl, Helmut - 1998

Persistent link: https://www.econbiz.de/10000992357

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - 1999

Persistent link: https://www.econbiz.de/10001413478

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - In: Journal of empirical finance 8 (2001) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10001568288

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - 1999

Daily returns of financial assets are frequently found to exhibit positive autocorrelation at lag 1. When specifying a linear AR(l) conditional mean, one may ask how this predictability affects option prices. We investigate the dependence of option prices on autoregressive dynamics under...

Persistent link: https://www.econbiz.de/10009580460