Carsten Trenkler

University of Mannheim

Universitaetsbibliothek Mannheim

Zeitschriftenabteilung

Mannheim, 68131

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

89

SSRN CITATIONS

2

CROSSREF CITATIONS

4

Scholarly Papers (4)

1.

Cointegrated VARMA Models and Forecasting US Interest Rates

Number of pages: 33 Posted: 09 Mar 2012
Christian Kascha and Carsten Trenkler
affiliation not provided to SSRN and University of Mannheim
Downloads 61 (433,059)

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cointegration, VARMA Models, forecasting

2.

Testing for the Co-integrating Rank of a VAR Process with Level Shift and Trend Break

Journal of Time Series Analysis, Vol. 29, Issue 2, pp. 331-358, March 2008
Number of pages: 28 Posted: 29 Feb 2008
Carsten Trenkler, Pentti Saikkonen and Helmut Luetkepohl
University of Mannheim, University of Helsinki - Department of Statistics and European University Institute
Downloads 13 (687,276)
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3.

VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings

SFB 649 Discussion Paper 2006-011
Number of pages: 29 Posted: 09 Jan 2017
University of Konstanz - Department of Economics, Blockchain Research Center, Humboldt University of Berlin and University of Mannheim
Downloads 9 (718,588)
Citation 1

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Implied volatility surface, dynamic semiparametric factor model, unit root tests, vector autoregression, impulse responses

4.

VAR Modeling for Dynamic Loadings Driving Volatility Strings

Journal of Financial Econometrics, Vol. 6, Issue 3, pp. 361-381, 2008
Number of pages: 29 Posted: 17 Jun 2008 Last Revised: 06 Jun 2016
University of Konstanz - Department of Economics, Blockchain Research Center, Humboldt University of Berlin and University of Mannheim
Downloads 6 (742,275)
Citation 1

Abstract:

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C14, C32, implied volatility surface, dynamic semiparametric factor model, vector autoregression, impulse responses