Volatilitatsprognose Mit Faktor-Garch-Modellen: Eine Empirische Studie Fur Den Deutschen Aktienmarkt

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Die Schatzung und Prognose der Volatilitat von Finanzmarkttiteln hat durch die Verbreitung derivativer Finanzinstrumente und der dafur erforderlichen Bewertungsmodelle an Bedeutung gewonnen. Der Autor beschreibt einen neuen multivariaten Schatz- und Prognoseansatz.