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Displaying results 1 to 10 of 10.

  1. Financial market volatility and inflation uncertainty
    an empirical investigation
    Author: Döpke, Jörg; Pierdzioch, Christian
    Published: 1999
    Publisher:  Inst. of World Economics, Kiel

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QD 000
    DDC Categories: 330; 380; 650; 670
    Series: Kiel working papers ; No. 913
    Subjects: Inflation; Risiko; Kapitalmarkt; Volatilität; Schätzung; :z Geschichte 1968-1998
    Other subjects: (stw)1968-1998; (stw)Inflation; (stw)Risiko; (stw)Finanzmarkt; (stw)Volatilität; (stw)Schätzung; (stw)Deutschland; jel:E31; jel:C32; Inflation uncertainty; financial market volatility; GARCH models; Grangers-causality; Inflation (STW); Risiko (STW); Finanzmarkt (STW); Volatilität (STW); Schätzung (STW); Deutschland (STW); Arbeitspapier; Graue Literatur; Buch
    Scope: 14 S., graph. Darst., 21 cm
    Notes:

    Literaturverz. S. 13 - 14
  2. Financial market volatility and inflation uncertainty
    An empirical investigation
    Author: Döpke, Jörg; Pierdzioch, Christian
    Published: 2011
    Publisher:  ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft, Kiel

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  3. Asset price volatility in EU-6 economies
    how large is the role played by the ECB?
    Author: Ciarlone, Alessio; Colabella, Andrea
    Published: [2018]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 450 (1175)
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    Content information
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Temi di discussione / Banca d'Italia ; number 1175 (June 2018)
    Subjects: unconventional monetary policy; ECB; Central and Eastern Europe; international spillovers; asset prices; volatility; GARCH models
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  4. Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts
    Author: Lis, Szymon; Chlebus, Marcin
    Published: 2021
    Publisher:  University of Warsaw, Faculty of Economic Sciences, Warsaw

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    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    Nicht speichern
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers / University of Warsaw, Faculty of Economic Sciences ; no. 2021, 11 = 359
    Subjects: Combining forecasts; Econometric models; Finance; Financial markets; GARCH models; Neural networks; Regression; Time series; Risk; Value-at-Risk; Machine learning; Model Confidence Set
    Scope: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  5. Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
    Author: Escobar, Marcos; Rastegari, Javad; Stentoft, Lars
    Published: mai 2023
    Publisher:  [Canadian Derivatives Institute], [Montréal]

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    ZSS 30
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Document de recherche / Institut Canadien des Dérivés ; DR 23, 02
    Subjects: Pricing; multi-asset options; GARCH models; Closed form solutions; Covariance dependent kernel; maximum likelihood estimation
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  6. The snp-dcc model: a new methodology for risk management and forecasting
    Author: Brio, Esther B. del; Ñíguez, Trino-Manuel; Perote, Javier
    Published: 2010
    Publisher:  Fundación de las Cajas de Ahorros, Madrid

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Documento de trabajo / Fundación de las Cajas de Ahorros ; 532
    Subjects: Density forecasts; Financial markets; GARCH models; Multivariate timeseries; Semi-nonparametric methods
    Scope: Online-Ressource (60 S.), graph. Darst.
  7. GARCH option pricing models with Meixner innovations
    Author: Fengler, Matthias; Melnikov, Alexander
    Published: Feb 2017
    Publisher:  School of Economics and Political Science, Department of Economics, University of St.Gallen, St. Gallen

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper / University of St.Gallen, School of Economics and Political Science, Department of Economics ; no. 2017, 02 (February 2017)
    Subjects: GARCH models; Meixner distribution; Esscher transform; option pricing
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  8. Is the financial sector Luxembourg's engine of growth?
    Author: Guarda, Paolo; Rouabah, Abdelaziz
    Published: July 2015
    Publisher:  Banque centrale du Luxembourg, Luxembourg

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Banque centrale du Luxembourg ; no 97
    Subjects: Output growth; GARCH models; Dynamic conditional correlations
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  9. Semiparametric GARCH models with long memory applied to value at risk and expected shortfall
    Author: Letmathe, Sebastian; Feng, Yuanhua; Uhde, André
    Published: April 2021
    Publisher:  Universität Paderborn, Center for International Economics, [Paderborn]

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 471
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Center for International Economics working paper series ; no. 2021, 03
    Subjects: Semiparametric; long memory; GARCH models; forecasting; Value at Risk; Expected Shortfall; traffic light test; Basel Committee on Banking Supervision
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  10. El impacto potencial de los movimientos de portafolio de los inversionistas extranjeros sobre la tasa de cambio en Colombia
    Author: Ariza-Murillo, Sara; Gamboa-Estrada, Fredy; Orozco-Vanegas, Camilo Andrés
    Published: [2023]
    Publisher:  Banco de la Republica Colombia, Bogotá, Colombia

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    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 468
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    Source: Union catalogues
    Language: Spanish
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 20.500.12134/10746
    Series: Borradores de economía ; núm.1261 (2023)
    Subjects: Exchange rates; foreign investors; derivatives; TES; GARCH models
    Scope: 1 Online-Ressource (circa 23 Seiten), Illustrationen