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The real versus the financial economy: a global tale of stability versus volatility
Mundt, Philipp - In: A statistical equilibrium perspective on corporate …, (pp. 35-56). 2017
Persistent link: https://www.econbiz.de/10011710559
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Ordinal- and continuous-response stochastic volatility models for price changes : an empirical comparison
Czado, Claudia; Müller, Gernot; Nguyen, Thi-Ngoc-Giau - In: Statistical modelling and regression structures : …, (pp. 301-320). 2010
Persistent link: https://www.econbiz.de/10003964492
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Comovements and volatility spillovers between oil prices and stock markets : further evidence for oil-exporting and oil-importing countries
Guesmi, Khaled - In: Emerging markets and the global economy, (pp. 371-382). 2014
Persistent link: https://www.econbiz.de/10010434644
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Estimation of the stochastic volatility by Markov Chain Monte Carlo
Boscher, Hans - In: Econometrics in theory and practice : Festschrift for …, (pp. 189-203). 1998
Persistent link: https://www.econbiz.de/10001301445
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Locally weighted autoregression
Feng, Yuanhua - In: Econometrics in theory and practice : Festschrift for …, (pp. 101-117). 1998
Persistent link: https://www.econbiz.de/10001301452
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FEERs : a sensitivity analysis
Driver, Rebecca L.; Wren-Lewis, Simon - In: Equilibrium exchange rates, (pp. 135-162). 1999
Persistent link: https://www.econbiz.de/10001409297
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Geldpolitik und Volatilitäten auf Finanzmärkten
Alexander, Volbert - In: Spekulation, Preisbildung und Volatilität auf Finanz- …, (pp. 95-128). 1998
Persistent link: https://www.econbiz.de/10001322898
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Strukturstabilität in Cointegrationsbeziehungen
Hansen, Gerd - In: Gesamtwirtschaftliche Modelle in der Bundesrepublik …, (pp. 193-214). 1998
Persistent link: https://www.econbiz.de/10001323998
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High-frequency trading in bond futures markets
Schlepper, Kathi - In: Essays on current phenomena and developments in …, (pp. 25-67). 2016
In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures market. Using a new dataset based on microseconds, the focus of the study is on the reaction of high-frequency traders (HFTs) to major macroeconomic news events. I show that...
Persistent link: https://www.econbiz.de/10011545655
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Multivariate volatility models
Fengler, Matthias; Herwartz, Helmut; Raters, F. H. C. - In: Applied quantitative finance, (pp. 25-37). 2017
Persistent link: https://www.econbiz.de/10011794951