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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
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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
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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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Simulation evidence on theory-based and statistical identification under volatility breaks
Herwartz, Helmut; Plödt, Martin - In: Oxford bulletin of economics and statistics 78 (2016) 1, pp. 94-112
Persistent link: https://www.econbiz.de/10011494636
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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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Unterschiedliche Volatilitätsregime am deutschen Rentenmarkt
Herwartz, Helmut; Reimers, Hans-Eggert - In: Jahrbücher für Nationalökonomie und Statistik (1999) 3/4, pp. 375-392
Persistent link: https://www.econbiz.de/10001451400
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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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Time inhomogenous multiple volatility modeling
Härdle, Wolfgang; Herwartz, Helmut; Spokojnyj, Vladimir G. - In: Journal of financial econometrics : official journal of … 1 (2003) 1, pp. 55-95
Persistent link: https://www.econbiz.de/10002220931
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International asset prices : empirical evidence
Morales-Arias, Leonardo - 2009
Persistent link: https://www.econbiz.de/10003869496
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A dynamic copula approach to recovering the index implied volatility skew
Fengler, Matthias R.; Herwartz, Helmut; Werner, Christian - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 457-493
Persistent link: https://www.econbiz.de/10009571516