Professoren
Prof. Dr. rer. pol. Helmut Herwartz

Prof. Dr. rer. pol. Helmut Herwartz

Beiträge in referierten Fachzeitschriften

Adaptive forecasting of the EURIBOR swap term structure, mit O. Blaskowitz, Journal of Forecasting, 2009, erscheint demnächst.

Development and determinants of systemic ris in European banking - an empirical note, mit M. Siegel, Applied Financial Economics Letters, 2009, 16, 431-438.

Modeling stock return dynamics conditional on equilibrium pricing factors - evidence from international equity markets, mit I. Morales, European Journal of Finance, 2009, 15, 1-29.

PCA based ex-ante forecsting of swap term structures, mit O. Blaskowitz, International Journal of Theoretical and Applied Finance, 2009, erscheint demnächst.

Testing for linear vector autoregressive dynamics under multivariate generalized autoregessive heteroskedasticity, mit C. Hafner, Statistica Neerlandica, 2009, erscheint demnächst.

The introduction of the Euro and its effects on investment decisions, mit R. Haselmann, Journal of Inernational Money and Finance, 2009, erscheint demnächst.

Exact inference in diagnosing value-at-risk etimates - a Monte Carlo divice, Economics Letters, 2008, erscheint demnächst.

Testing for causality in variance using multivariate GARCH models, mit C.M. Hafner, Annales d'Economie et de Statistique, 2008, erscheint demnächst.

Reviewing the sustainability/stationarity of current account imbalances with tests for bounded integration, mit X. Fang, Manchester School, 2008, 76/3, 267-278.

Panel data model comparsion for empirical saving-investment relations , mit F. Xu, Applied Economics Letters, 2008, erscheint demnächst.

A functional coefficient model view of the Feldstein-Horioka puzzle , mit F. Xu, Journal of International Money and Finance, 2008, erscheint demnächst.

A new approach to bootstrap inference in functional coefficient models, mit F. Xu, Computational Statistics & Data Analysis, 2008, erscheint demnächst.

Homogeneous panel unit root tests under cross-sectional dependence - finite sample modifications and the wild bootstrap, mit F. Siedenburg, Computational Statistics and Data Analysis, 2008, 53/1.

Modeling stock return dynamics conditional on equilibrium pricing factor evidence from international equity markets, mit L. Morales, European Journal of Finance, 2008, erscheint demnächst.

Development and determinants of systemic risk in European banking - an empirical note, mit M. Siegel, Applied Financial Economics Letters, 2008, erscheint demnächst.

Portfolio performance and the Euro: Prospects for new potential EMU members, mit R. Haselmann, Journal of International Money and Finance, 2007, erscheint demnächst.

Testing for random effects in panel models with spatially correlated disturbances, Statistica Neerlandica, 2007, Vol. 61, Nr. 4, 466--487.

Analytical quasi maximum likelihood inference in multivariate volatility models (mit C.M. Hafner), Metrika, 2007, erscheint demnächst.

Panel Nonstationary Tests of the Fisher Hypothesis in a World Wide Context (mit H.-E. Reimers), International Journal of Applied Econometrics and Quantitative Studies, 2007, erscheint demnächst.

Determinants of Current Account Imbalances in 16 OECD Countries: An Out-Of-Sample Perspective (mit F. Siedenburg), Review of World Economics, 2007, Vol. 143, Nr. 2, 349--374.

A Lagrange multipler test for causality in variance (mit C.M. Hafner), Economics Letters, 2006, Vol. 93, 137-141.

Testing for random effects in panel data under cross sectional error correlation - A bootstrap approach to the Breusch Pagan test, Computational Statistics and Data Analysis, 2006, Vol. 50, 3567-3591.

Volatility impulse responses for multivariate GARCH models: An exchange rate illustration (mit C.M. Hafner), Journal of International Money and Finance, 2006, Vol. 25, 719-740

A Lagrange multipler test for causality in variance (mit C.M. Hafner), Economics Letters, 2006, 93, 137-141.

Econometric analysis of high frequency data, Allgemeines Statistisches Archiv, 2006, 89-104. 137-141.

Long Run Links among Money, Prices and Output: Worldwide Evidence (mit H.-E. Reimers), German Economic Review, 2006, 65-86.

Econometric analysis of high frequency data, Allgemeines Statistisches Archiv, 2006, 90, 89-104.

Bootstrap inference in single equation error correction models (mit M.H. Neumann), Journal of Econometrics, 2005, Vol. 128, 165-193.

Exchange rate uncertainty and trade growth - a comparison of linear and non-linear (forecasting) models (mit H. Weber), Applied Stochastic Models in business and Industry, 2005, 21, 1-25.

On the (nonlinear) relationship between exchange rate uncertainty and trade - An investigation of US trade figures in the Group of Seven, Weltwirtschaftliches Archiv, 2003, Vol. 139, 650-682.

Time inhomogeneous multiple volatility modelling, (mit W. Härdle,V.G. Spokoiny), Journal of Financial Econometrics, 2003, Vol. 1, 55-95.

The determinants of health care expenditure: Testing pooling restrictions in small samples, (mit B. Theilen), Health Economics, 2003, Vol. 12, 113-124

Seasonal cointegration analysis for German M3 money demand, (mit H.E. Reimers), Applied Financial Economics, 2003, Vol. 13, 71-78.

Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications,(joint with H. Reimers), Applied Stochastic Models in Business and Industry, Vol. 18, 2002, 3-22.

Testing growth ratios via pooled error correction models, (mit H.E.Reimers), Economics Bulletin, 2002, Vol. 3, 1-11.

Testing the purchasing power parity in pooled systems of error correction models, (joint with H. Reimers), Japan and the World Economy, Vol. 14, 2002, 45-62.

Investigating the JPY/DEM-rate: arbitrage opportunities and a case for asymmetry, International Journal of Forecasting, Vol. 17, 2001, 231-245.

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis, (joint with C.M. Hafner), Journal of Empirical Finance, Vol. 8, 2001, 1-34.

Testing for Linear Autoregressive Dynamics under Heteroskedasticity, (joint with C.M. Hafner), The Econometrics Journal, Vol. 3, 2000, 177-197.

Forecasting Market Share Using Predicted Values of Competitive Behaviour, (joint with D. Klapper), International Journal of Forecasting, Vol. 16, 2000, 399-421.

Multivariate Volatility Analysis of VW Stock Prices, (joint with H. Lütkepohl), International Journal of Intelligent Systems in Accounting, Finance and Management, Vol. 9, 2000, 35-54.

Weekday Dependence of German Stock Market Returns, Applied Stochastic Models in Business and Industry, Vol. 16, 2000, 47-71.

Unterschiedliche Volatilitätsregime am deutschen Rentenmarkt, (joint with H.E. Reimers), Jahrbücher für Nationalökonomie und Statistik, Bd. 219/3+4, 1999, 375-392.

Performance of Periodic Time Series Models in Forecasting, Empirical Economics, Vol. 24, 1999, 271-301.

Time Varying Market Price of Risk in the CAPM-Approaches, Empirical Evidence and Implications, (joint with C.M. Hafner), Finance, Vol.19, 2/1998, 93-112.

Structural analysis of portfolio risk using beta impulse response functions, (joint with C.M. Hafner), Statistica Neerlandica, Vol. 52, 1998, 336-355.

Testing Periodicity in Time Series Models - A Recommendation of Bootstrap Methods, Computational Statistics, Vol. 13, 1998, 283-300.

Performance of periodic error correction models in forecasting consumption data, International Journal of Forecasting, Vol. 13, 1997, 421-431.

Specification of varying coefficient time series models via generalized flexible least squares, (joint with H. Lütkepohl), Journal of Econometrics, Vol. 70, 1996.


Beiträge in referierten Sammelbänden

Conditional heteroskedasticity, 2007, in: Lütkepohl, H. und M. Krätzig (Hrsg.), Applied time series econometrics, erscheint demnächst.

VaR in high dimensional systems - a conditional correlation approach (mit B. Pedrinha), 2nd ed. in: Härdle, W., T. Kleinow, g. Stahl (Eds.): Applied Quantitative Finance, 2007, Springer Verlag, erscheint demnächst.

Conditional heteroskedastiticity, in: Lütkepohl, H., M. Krätzig (Eds.): Applied Time Series Econometrics, 2004, 197--220.

Multivariate volatility models, (mit M. Fengler), in: Härdle, W., T. Kleinow, G. Stahl (Eds.): Applied Quantitative Finance, Springer Verlag, 2002, 221-236.

Linear Autoregressive Dynamics in Financial Returns - Inference and Implications , (joint with C.M. Hafner), Proceedings of the 9th Annual Conference of Doctoral Students, ed. by J. Safrankova, Charles University Prague, Part I: Mathematics, 2000, 1-10.


Buchpublikation

Analyse saisonaler Zeitreihen mit Hilfe periodischer Zeitreihenmodelle, Dissertation, Verlag Josef Eul, Bergisch Gladbach, 1995.

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