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Wolfgang Scherrer

Personal Details

First Name:Wolfgang
Middle Name:
Last Name:Scherrer
Suffix:
RePEc Short-ID:psc859

Affiliation

Institut für Stochastik und Wirtschaftsmathematik
Technische Universität Wien

Wien, Austria
https://swm.tuwien.ac.at/
RePEc:edi:imtuwat (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Scherrer, W. & Heij, C., 1998. "Estimation of factor models by realization-based and approximation methods," Econometric Institute Research Papers EI 9831, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  2. Scherrer, W. & Heij, C., 1997. "Identification of System Behaviours by Approximation of Time Series Data," Econometric Institute Research Papers EI 9710-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  3. Heij, C. & Scherrer, W., 1996. "Behavioural Approximation of Stochastic Processes by Rank Reduced Spectra," Econometric Institute Research Papers EI 9610/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  4. Heij, C. & Scherrer, W., 1996. "Consistency of System Identification by Global Total Least Squares," Econometric Institute Research Papers EI 9635-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  5. Heij, C. & Scherrer, W. & Destler, M., 1996. "System Identification by Dynamic Factor Models," Econometric Institute Research Papers EI 9501-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  6. Heij, C. & Scherrer, W., 1995. "Consistency of global total least squares in stochastic system identification," Econometric Institute Research Papers EI 9522-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

Articles

  1. Scherrer, Wolfgang & Ribarits, Eva, 2007. "On The Parametrization Of Multivariate Garch Models," Econometric Theory, Cambridge University Press, vol. 23(3), pages 464-484, June.
  2. Dahlen, Anders & Scherrer, Wolfgang, 2004. "The relation of the CCA subspace method to a balanced reduction of an autoregressive model," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 293-312.
  3. W. Scherrer & M. Deistler & M. Kopel & W. Reitgruber, 1991. "Solution sets for linear dynamic errors‐in‐variables models," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 45(4), pages 391-404, December.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Heij, C. & Scherrer, W., 1996. "Consistency of System Identification by Global Total Least Squares," Econometric Institute Research Papers EI 9635-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

    Cited by:

    1. Scherrer, W. & Heij, C., 1997. "Identification of System Behaviours by Approximation of Time Series Data," Econometric Institute Research Papers EI 9710-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

  2. Heij, C. & Scherrer, W. & Destler, M., 1996. "System Identification by Dynamic Factor Models," Econometric Institute Research Papers EI 9501-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

    Cited by:

    1. Heij, C. & Scherrer, W., 1996. "Consistency of System Identification by Global Total Least Squares," Econometric Institute Research Papers EI 9635-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Heij, C. & Scherrer, W., 1996. "Behavioural Approximation of Stochastic Processes by Rank Reduced Spectra," Econometric Institute Research Papers EI 9610/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. C. Heij & W. Scherrer & M. Deistler, 1998. "System Identification by Dynamic Factor Models," Tinbergen Institute Discussion Papers 98-001/4, Tinbergen Institute.

  3. Heij, C. & Scherrer, W., 1995. "Consistency of global total least squares in stochastic system identification," Econometric Institute Research Papers EI 9522-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

    Cited by:

    1. Heij, C. & Scherrer, W., 1996. "Consistency of System Identification by Global Total Least Squares," Econometric Institute Research Papers EI 9635-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

Articles

  1. Scherrer, Wolfgang & Ribarits, Eva, 2007. "On The Parametrization Of Multivariate Garch Models," Econometric Theory, Cambridge University Press, vol. 23(3), pages 464-484, June.

    Cited by:

    1. Christian Conrad & Menelaos Karanasos, 2008. "Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model," KOF Working papers 08-189, KOF Swiss Economic Institute, ETH Zurich.
    2. Gagari Chakrabarti, 2011. "Financial crisis and the changing nature of volatility contagion in the Asia-Pacific region," Journal of Asset Management, Palgrave Macmillan, vol. 12(3), pages 172-184, August.
    3. Bruce Q. Budd, 2018. "The transmission of international stock market volatilities," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 155-173, January.
    4. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    5. Viorica CHIRILA & Ciprian CHIRILA, 2018. "Effects of US Monetary Policy on Eastern European Financial Markets," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, vol. 10(2), pages 149-166, August.
    6. Karunanayake, Indika & Valadkhani, Abbas & O’Brien, Martin, 2012. "GDP Growth and the Interdependency of Volatility Spillovers," MPRA Paper 50398, University Library of Munich, Germany.
    7. Valadkhani, Abbas & O'Brien, Martin & Karunanayake, Indika, 2009. "Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach," Economics Working Papers wp09-11, School of Economics, University of Wollongong, NSW, Australia.
    8. Asai, Manabu, 2023. "Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application," Econometrics and Statistics, Elsevier, vol. 25(C), pages 23-38.
    9. Ahmad, Wasim & Mishra, Anil V. & Daly, Kevin, 2018. "Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 117-133.

  2. Dahlen, Anders & Scherrer, Wolfgang, 2004. "The relation of the CCA subspace method to a balanced reduction of an autoregressive model," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 293-312.

    Cited by:

    1. Dietmar Bauer, 2005. "Comparing the CCA Subspace Method to Pseudo Maximum Likelihood Methods in the case of No Exogenous Inputs," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(5), pages 631-668, September.

  3. W. Scherrer & M. Deistler & M. Kopel & W. Reitgruber, 1991. "Solution sets for linear dynamic errors‐in‐variables models," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 45(4), pages 391-404, December.

    Cited by:

    1. Molua, Ernest L., 2005. "The economics of tropical agroforestry systems: the case of agroforestry farms in Cameroon," Forest Policy and Economics, Elsevier, vol. 7(2), pages 199-211, February.

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