University of Kiel - Institute of Statistics and Econometrics
investment home bias, realized volatility, Euro introduction
Stock market bubbles, out-of-sample forecasting, financial ratios, OECD countries
Exchange rates, sovereign risk, foreign currency exposure, structural VAR
portfolio allocation, EMU expansion, currency hedging, realized volatility
BEKK model, forecast error variance decomposition, multivariate GARCH, spillover index, value-at-risk, variance spillovers
Fisher hypothesis, Panel cointegration analysis
Quantity theory of money, Panel cointegration analysis, Wild bootstrap inference
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Vector autoregressive process, vector error correction model, cointegration, reduced rank estimation, maximum likelihood estimation, multi-variate GARCH
Copula Dynamic Conditional Correlation, Basket Options, Multivariate GARCH
Adaptive ex-ante forecasting, EURIBOR swap rates, term structure
Saving–investment relation, Feldstein–Horioka puzzle, Functional coefficient models
stochastic volatility model, multivariate volatility model, adaptive estimation, local homogeneity
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