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Testing for Linear Autoregress...
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RePEc
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ECONIS (ZBW)
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1
Time-Varying Market Price of Risk in the CAPM-Approaches, Empirical Evidence and Implications
Hafner, C.
;
Herwartz, H.
-
Sonderforschungsbereich 373, Quantifikation und …
Persistent link: https://www.econbiz.de/10005838234
Saved in:
2
Option Pricing under Linear Autoregressive Dynamics, Heteroskedasticity, and Conditional Leptokurtosis
Hafner, C.
;
Herwartz, H.
-
Sonderforschungsbereich 373, Quantifikation und …
Persistent link: https://www.econbiz.de/10005838325
Saved in:
3
Time-varying market price of risk in the CAPM : approaches, empirical evidence and implications
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Finance : revue de l'Association Française de Finance
19
(
1998
)
2
,
pp. 93-112
Persistent link: https://www.econbiz.de/10001476791
Saved in:
4
Structural analysis of portfolio risk using beta impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
-
1998
Persistent link: https://www.econbiz.de/10000992252
Saved in:
5
Volatility impulse response functions for multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
-
1998
Persistent link: https://www.econbiz.de/10001363211
Saved in:
6
Testing for linear autoregressive dynamics under heteroskedasticity
Hafner, Christian M.
;
Herwartz, Helmut
-
1999
Persistent link: https://www.econbiz.de/10001377688
Saved in:
7
Time varying market price of risk in the CAPM approaches, empirical evidence and implications
Hafner, Christian M.
;
Herwartz, Helmut
-
1999
Persistent link: https://www.econbiz.de/10001377689
Saved in:
8
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
Saved in:
9
Testing for linear autoregressive dynamics under heteroskedasticity
Hafner, Christian M.
;
Herwartz, Helmut
- In:
The econometrics journal
3
(
2000
)
2
,
pp. 177-197
Persistent link: https://www.econbiz.de/10001546181
Saved in:
10
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.
;
Herwartz, Helmut
-
1999
Persistent link: https://www.econbiz.de/10001413478
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