Auflistung Wirtschaftswissenschaftliche Fakultät nach Autor/in "57674318-9c28-4d17-8a00-8e1bc7bc124c"

Auflistung Wirtschaftswissenschaftliche Fakultät nach Autor/in "57674318-9c28-4d17-8a00-8e1bc7bc124c"

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  • A comparison of semiparametric tests for fractional cointegration 
    Leschinski, Christian; Voges, Michelle; Sibbertsen, Philipp (Berlin, Heidelberg [u.a.] : Springer, 2020)
    There are various competing procedures to determine whether fractional cointegration is present in a multivariate time series, but no standard approach has emerged. We provide a synthesis of this literature and conduct a ...
  • Estimating the volatility of asset pricing factors 
    Becker, Janis; Leschinski, Christian (New York, NY : Wiley Interscience, 2020)
    Models based on factors such as size or value are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become ...
  • Integration and disintegration of emu government bond markets 
    Leschinski, Christian; Voges, Michelle; Sibbertsen, Philipp (Basel : MDPI AG, 2021)
    It is commonly found that the markets for long-term government bonds of Economic and Monetary Union (EMU) countries were integrated prior to the EMU debt crisis. Contrasting this, we show, based on the interrelation between ...
  • The memory of volatility 
    Wenger, Kai R.; Leschinski, Christian H.; Sibbertsen, Philipp (Springield : AIMS Press, 2018)
    The focus of the volatility literature on forecasting and the predominance of the conceptually simpler HAR model over long memory stochastic volatility models has led to the fact that the actual degree of memory estimates ...

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