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One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -
Kaiser, Thomas - EconWPA - 1996
This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...
Persistent link: https://www.econbiz.de/10005407963
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One-factor-Garch models for German stocks: Estimation and forecasting
Kaiser, Thomas - Wirtschaftswissenschaftlichen Fakultät, … - 1996
This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...
Persistent link: https://www.econbiz.de/10011097496
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The Customer Shall Lead: E-Business Solutions for the New Insurance Industry*
Kaiser, Thomas - In: The Geneva Papers on Risk and Insurance - Issues and … 27 (2002) 1, pp. 134-145
Persistent link: https://www.econbiz.de/10005117047