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Asset prices, financial amplification and monetary policy : structural evidence from an identified multivariate GARCH model
Herwartz, Helmut; Roestel, Jan - In: Journal of international financial markets, … 78 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013357315
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Measuring spot variance spillovers when (co)variances are time-varying : the case of multivariate GARCH models
Fengler, Matthias; Herwartz, Helmut - In: Oxford bulletin of economics and statistics 80 (2018) 1, pp. 135-159
Persistent link: https://www.econbiz.de/10011969544
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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
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Stock return prediction under GARCH : an empirical assessment
Herwartz, Helmut - In: International journal of forecasting 33 (2017) 3, pp. 569-580
Persistent link: https://www.econbiz.de/10011746190
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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
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On the (nonlinear) relationship between exchange rate uncertainty and trade : an investigation of US trade figures in the group of seven
Herwartz, Helmut - In: Review of world economics 139 (2003) 4, pp. 650-682
Persistent link: https://www.econbiz.de/10001915170
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Inflation targeting under inflation uncertainty : multi-economy evidence from a stochastic volatility model
Hartmann, Matthias; Herwartz, Helmut; Ulm, Maren - In: Macroeconomic dynamics 26 (2022) 5, pp. 1302-1337
Persistent link: https://www.econbiz.de/10013270236
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Identification of structural multivariate GARCH models
Hafner, Christian M.; Herwartz, Helmut; Maxand, Simone - In: Journal of econometrics 227 (2022) 1, pp. 212-227
Persistent link: https://www.econbiz.de/10013441647