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Special issue on "Multivariate volatility models"
Garcia, René (contributor); Ghysels, Eric (contributor);  … - 2009
Persistent link: https://www.econbiz.de/10003907531
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Tail risk and long memory in financial markets
Nguyen, Duc Binh Benno - 2018
Persistent link: https://www.econbiz.de/10012173996
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Decision-making, uncertainty and the predictability of financial markets: essays on interest rates, crude oil prices and exchange rates
Kunze, Frederik - 2018
Es liegt in der Verantwortung von ökonomischen Entscheidungsträgern, Entscheidungen unter Unsicherheit zu treffen. Finanzmarktunsicherheit kann ökonomische Aktivität negativ beeinflussen. In diesem Sinn können Prognosen theoretisch einen ökonomischen Mehrwert liefern. Diese kumulative...
Persistent link: https://www.econbiz.de/10012169117
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Essays on structural vector autoregressions identified through time-varying volatility
Schlaak, Thore - 2019
Persistent link: https://www.econbiz.de/10012173758
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Essays on variance risk
Gruber, Peter H. - 2015
effects, i.e., it is possible that the structure of the volatility surface changes without a change in the volatility level … state, I show that this superior performance is directly linked to a third volatility factor which is unrelated to the … volatility level. The second chapter studies the price of the smile, which is defined as the premia for individual option risk …
Persistent link: https://www.econbiz.de/10011931531
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Essays in international macroeconomics and econometrics
Zhang, Xuan - 2014
Persistent link: https://www.econbiz.de/10010384427
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Exchange rate economics : where do we stand?
De Grauwe, Paul (ed.) - 2005
Recent theoretical developments in exchange rate economics have led to important new insights into the functioning of the foreign exchange market. The simple models of the 1970s, which could not withstand empirical evaluation, have been succeeded by more complex models that draw on theoretical...
Persistent link: https://www.econbiz.de/10013481744
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Spekulation, Preisbildung und Volatilität auf Finanz- und Devisenmärkten
Alexander, Volbert (contributor); Baltensperger, Ernst (ed.) - 1998
Persistent link: https://www.econbiz.de/10013280903
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Trade and uncertainty
Johannsen, Florian - 2014
The five chapters of this dissertation deal with the topic of trade under different kinds of uncertainty. In the first chapter, the impact of exchange rate uncertainty on exports of European countries is investigated with a special focus on short-term effects, sectoral differences and the impact...
Persistent link: https://www.econbiz.de/10010404191
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GARCH(1, 1) at small sample size and pairs trading with cointegration
Leong, Wei Ruen - 2018
Persistent link: https://www.econbiz.de/10011994459