Strukturelle Volatilitätsmodelle

• Antragsteller: Professor Dr. Helmut Herwartz
• Fachliche Zuordnung: Statistik und Ökonometrie
• Förderung: Förderung von 2018 bis 2022
• Projektkennung: Deutsche Forschungsgemeinschaft (DFG) - Projektnummer 393703356

• Erstellungsjahr: 2023

Keine Zusammenfassung vorhanden

Projektbezogene Publikationen (Auswahl)

• A Multivariate Markov-Switching GARCH Model with Copula-Distributed Innovations. SSRN Electronic Journal.
  Fülle, Markus J. & Herwartz, Helmut
  
• Structural transmissions among investor attention, stock market volatility and trading volumes. European Financial Management, 28(1), 260-279.
  Herwartz, Helmut & Xu, Fang
  
• Asset prices, financial amplification and monetary policy: Structural evidence from an identified multivariate GARCH model. Journal of International Financial Markets, Institutions and Money, 78, 101568.
  Herwartz, Helmut & Roestel, Jan
  
• Dynamic Score-Driven Independent Component Analysis. Journal of Business & Economic Statistics, 41(2), 298-308.
  Hafner, Christian M. & Herwartz, Helmut
  
• Identification of structural multivariate GARCH models. Journal of Econometrics, 227(1), 212-227.
  Hafner, Christian M.; Herwartz, Helmut & Maxand, Simone
  
• Predicting Tail Risks by a Markov Switching MGARCH Model with Varying Copula Regimes. SSRN Electronic Journal.
  Fülle, Markus J. & Herwartz, Helmut
  
• Asymmetric volatility impulse response functions. Economics Letters, 222, 110968.
  Hafner, Christian M. & Herwartz, Helmut
  
• Correlation impulse response functions. Finance Research Letters, 57, 104176.
  Hafner, Christian M. & Herwartz, Helmut
  
• BEKKs: An R Package for Estimation of Conditional Volatility of Multivariate Time Series. Journal of Statistical Software, 111(4).
  Fülle, Markus J.; Lange, Alexander; Hafner, Christian M. & Herwartz, Helmut