Browsing Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 by Subject "GARCH"
Now showing items 1-4 of 4
2005-10-17BuchEmpirical modeling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications
2005-10-12BuchForecasting sectoral trade growth under flexible exchange rates
1999-07-01BuchOption Pricing under Linear Autoregressive Dynamics, Heteroskedasticity, and Conditional Leptokurtosis
1998-11-01BuchTesting for Linear Autoregressive Dynamics under Heteroskedasticity One puzzling behavior of asset returns for various frequencies is the often observed positive autocorrelation at lag 1. To some extent this can be explained by standard asset pricing models when assuming time varying risk ...