Browsing All of EconStor by Author Herrmann, Klaus
Showing results 1 to 7 of 7
Year of Publication | Title | Author(s) |
2008 | Models for time-varying moments using maximum entropy applied to a generalized measure of volatility | Herrmann, Klaus |
2009 | Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results | Herrmann, Klaus |
2009 | A note on conditional arbitrage-free maximum entropy densities for simulative option pricing | Herrmann, Klaus |
2010 | Volatility models with innovations from new maximum entropy densities at work | Fischer, Matthias J.; Gao, Yang; Herrmann, Klaus |
2014 | Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures | Herrmann, Klaus; Teis, Stefan; Yu, Weijun |
2015 | On the power and size properties of cointegration tests in the light of high-frequency stylized facts | Krauss, Christopher; Herrmann, Klaus; Teis, Stefan |
2017 | On the power and size properties of cointegration tests in the light of high-frequency stylized facts | Krauss, Christopher; Herrmann, Klaus |