Helmut Herwartz

University of Kiel - Institute of Statistics and Econometrics

Olshausensrabe 40-60

D-24118 Kiel

Germany

SCHOLARLY PAPERS

16

DOWNLOADS

641

SSRN CITATIONS

1

CROSSREF CITATIONS

8

Scholarly Papers (16)

1.

The Introduction of the Euro and its Effects on Investment Decisions

Number of pages: 45 Posted: 23 Feb 2006
Rainer F. H. Haselmann and Helmut Herwartz
Leibniz Institute for Financial Research SAFE and University of Kiel - Institute of Statistics and Econometrics
Downloads 238 (133,592)
Citation 1

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investment home bias, realized volatility, Euro introduction

2.

In-Sample and Out-of-Sample Prediction of Stock Market Bubbles: Cross-Sectional Evidence

DIW Berlin Discussion Paper No. 1173
Number of pages: 45 Posted: 08 Jan 2012
Helmut Herwartz and Konstantin A. Kholodilin
University of Kiel - Institute of Statistics and Econometrics and German Institute for Economic Research (DIW Berlin)
Downloads 151 (201,852)
Citation 1

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Stock market bubbles, out-of-sample forecasting, financial ratios, OECD countries

3.

Exchange Rates, Foreign Currency Exposure and Sovereign Risk

DIW Berlin Discussion Paper No. 1792 (2019)
Number of pages: 39 Posted: 27 Feb 2019
Kerstin Bernoth and Helmut Herwartz
German Institute for Economic Research (DIW Berlin) and University of Kiel - Institute of Statistics and Econometrics
Downloads 70 (341,553)

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Exchange rates, sovereign risk, foreign currency exposure, structural VAR

4.

Portfolio Performance and the Euro: Prospects for New Potential EMU Members

Journal of International Money and Finance, Forthcoming
Number of pages: 27 Posted: 07 Jan 2008
Rainer F. H. Haselmann and Helmut Herwartz
Leibniz Institute for Financial Research SAFE and University of Kiel - Institute of Statistics and Econometrics
Downloads 68 (346,950)

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portfolio allocation, EMU expansion, currency hedging, realized volatility

5.

Measuring Spot Variance Spillovers When (Co)Variances are Time-Varying - The Case of Multivariate GARCH Models

Number of pages: 42 Posted: 25 Jun 2016
Matthias R. Fengler and Helmut Herwartz
University of St. Gallen - School of Economics and Political Science and University of Kiel - Institute of Statistics and Econometrics
Downloads 60 (369,986)
Citation 1

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BEKK model, forecast error variance decomposition, multivariate GARCH, spillover index, value-at-risk, variance spillovers

6.

Panel Non-Stationary Tests of the Fisher Hypothesis in a World Wide Context: An Analysis of 114 Economies during the Period 1960-2004

Applied Econometrics and International Development, Vol. 6, No. 3, 2006
Number of pages: 19 Posted: 22 Aug 2008
Helmut Herwartz and Hans-Eggert Reimers
University of Kiel - Institute of Statistics and Econometrics and Hochschule Wismar
Downloads 37 (452,760)

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Fisher hypothesis, Panel cointegration analysis

7.

Long-Run Links Among Money, Prices, and Output: World-Wide Evidence

Bundesbank Series 1 Discussion Paper No. 2001,14
Number of pages: 40 Posted: 08 Jun 2016
Helmut Herwartz and Hans-Eggert Reimers
University of Kiel - Institute of Statistics and Econometrics and Hochschule Wismar
Downloads 9 (611,169)

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Quantity theory of money, Panel cointegration analysis, Wild bootstrap inference

Reviewing the Sustainability/Stationarity of Current Account Imbalances with Tests for Bounded Integration

Manchester School, Vol. 76, Issue 3, pp. 267-278, June 2008
Number of pages: 12 Posted: 16 Apr 2008
Helmut Herwartz and Fang Xu
University of Kiel - Institute of Statistics and Econometrics and affiliation not provided to SSRN
Downloads 7 (651,765)
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Reviewing the Sustainability/Stationarity of Current Account Imbalances with Tests for Bounded Integration

The Manchester School, Vol. 76, No. 3, pp. 267-278, 2008
Posted: 14 Nov 2009
Helmut Herwartz and Fang Xu
University of Kiel - Institute of Statistics and Econometrics and European University Institute

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9.

Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity

Journal of Time Series Analysis, Vol. 32, Issue 3, pp. 281-291, 2011
Number of pages: 11 Posted: 12 Apr 2011
Helmut Herwartz and Helmut Ltkepohl
University of Kiel - Institute of Statistics and Econometrics and affiliation not provided to SSRN
Downloads 1 (674,756)
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Vector autoregressive process, vector error correction model, cointegration, reduced rank estimation, maximum likelihood estimation, multi-variate GARCH

10.

A Dynamic Copula Approach to Recovering The Index Implied Volatility Skew

Journal of Financial Econometrics, 10(3), 457-493, 2012
Posted: 05 Sep 2011 Last Revised: 01 May 2013
University of St. Gallen - School of Economics and Political Science, University of Kiel - Institute of Statistics and Econometrics and Derivatives Trading, Macquarie Structured Products & Exotics Macquarie Capital (Europe) Limited

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Copula Dynamic Conditional Correlation, Basket Options, Multivariate GARCH

11.

PCA-Based Ex-Ante Forecasting of Swap Term Structures

International Journal of Theoretical and Applied Finance, Vol. 12, Issue 4, pp. 465-489, 2009
Posted: 02 Dec 2009
Oliver Blaskowitz and Helmut Herwartz
affiliation not provided to SSRN and University of Kiel - Institute of Statistics and Econometrics

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Adaptive ex-ante forecasting, EURIBOR swap rates, term structure

12.

A New Approach to Bootstrap Inference in Functional Coefficient Models

Computational Statistics & Data Analysis, Vol. 53, pp. 2155-2167, 2009
Posted: 14 Nov 2009
Helmut Herwartz and Fang Xu
University of Kiel - Institute of Statistics and Econometrics and European University Institute

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13.

Panel Data Model Comparison for Empirical Saving-Investment Relations

Applied Economic Letters, Vol. 16, pp. 803-807, 2009
Posted: 14 Nov 2009
Helmut Herwartz and Fang Xu
University of Kiel - Institute of Statistics and Econometrics and European University Institute

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14.

A Functional Coefficient Model View of the Feldstein-Horioka Puzzle

Journal of International Money and Finance, Forthcoming
Posted: 13 Nov 2009
Helmut Herwartz and Fang Xu
University of Kiel - Institute of Statistics and Econometrics and European University Institute

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Saving–investment relation, Feldstein–Horioka puzzle, Functional coefficient models

15.

Time Inhomogeneous Multiple Volatility Modeling

Journal of Financial Econometrics, Vol. 1, No. 1, pp. 55-95, 2003
Posted: 29 Feb 2008
Wolfgang K. Härdle, Helmut Herwartz and V. Spokoiny
Humboldt University of Berlin - Institute for Statistics and Econometrics, University of Kiel - Institute of Statistics and Econometrics and Weierstras Institute for Applied Analysis and Stochastics (WIAS)

Abstract:

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stochastic volatility model, multivariate volatility model, adaptive estimation, local homogeneity

16.

Performance of Periodic Time Series Models in Forecasting

Empirical Economics, Vol. 24, No. 2, May 1999
Posted: 22 Jul 1999
Helmut Herwartz
University of Kiel - Institute of Statistics and Econometrics

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