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Evaluating volatility forecasts and empirical distributions in Value at Risk models
Dockner, Engelbert J.; Scheicher, Martin - In: Finanzmarkt und Portfolio-Management 13 (1999) 1, pp. 39-55
Persistent link: https://www.econbiz.de/10001518563
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Nonlinear dynamics : evidence for a small stock exchange
Scheicher, Martin - 1996
Persistent link: https://www.econbiz.de/10000607725
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Nonlinear dynamics : evidence for a small stock exchange
Scheicher, Martin - In: Empirical economics : a journal of the Institute for … 24 (1999) 1, pp. 45-59
Persistent link: https://www.econbiz.de/10001353414
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Die Quantifizierung und Prognose des Marktrisikos
Dockner, Engelbert J. - In: Wege zur Ganzheit : Festschrift für J. Hanns Pichler …, (pp. 799-809). 1996
Persistent link: https://www.econbiz.de/10001296812
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Volatility forecasts and the profitability of automated trading strategies
Dockner, Engelbert J.; Strobl, Günter - In: Optimal control and dynamic games : applications in …, (pp. 121-139). 2005
Persistent link: https://www.econbiz.de/10003108038
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Non-linear volatility modeling in classical and Bayesian frameworks with applications to risk management
Miazhynskaia, Tatiana; Dockner, Engelbert J.; … - In: Adaptive information systems and modelling in economics …, (pp. 73-98). 2005
Persistent link: https://www.econbiz.de/10003319811
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Leaders, followers, and risk dynamics in industry equilibrium
Carlson, Murray; Dockner, Engelbert J.; Fisher, Adlai; … - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 2, pp. 321-349
Persistent link: https://www.econbiz.de/10010487155
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Leaders, followers, and risk dynamics in industry equilibrium
Carlson, Murray; Dockner, Engelbert J.; Fisher, Adlai; … - 2010
Persistent link: https://www.econbiz.de/10008906780
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Modelling the implied probability of stock market movements
Glatzer, Ernst; Scheicher, Martin - European Central Bank - 2003
In this paper we study risk-neutral densities (RNDs) for the German stock market. The use of option prices allows us to quantify the risk-neutral probabilities of various levels of the DAX index. For the period from December 1995 to November 2001, we implement the mixture of log-normals model...
Persistent link: https://www.econbiz.de/10005530978
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Modelling the implied probability of stock market movements
Glatzer, Ernst; Scheicher, Martin - 2003
In this paper we study risk-neutral densities (RNDs) for the German stock market. The use of option prices allows us to quantify the risk-neutral probabilities of various levels of the DAX index. For the period from December 1995 to November 2001, we implement the mixture of log-normals model...
Persistent link: https://www.econbiz.de/10011604258