Showing 1 - 10 of 13
Persistent link: https://www.econbiz.de/10000856008
In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling...
Persistent link: https://www.econbiz.de/10009574876
We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock returns. We review the background of hyperbolic distributions and prove...
Persistent link: https://www.econbiz.de/10009577459
Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a...
Persistent link: https://www.econbiz.de/10009578026
For over a decade, nonparametric modelling has been successfully applied to study nonlinear structures in financial time series. It is well known that the usual nonparametric models often have less than satisfactory performance when dealing with more than one lag. When the mean has an additive...
Persistent link: https://www.econbiz.de/10009578559
In this paper we motivate, specify and estimate a model in which the intra-day volatilty process affects the inter-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first propose a GMM estimation procedure for...
Persistent link: https://www.econbiz.de/10009579173
We consider two multivariate long-memory ARCH models, which extend the univariate long-memory ARCH models, we first consider a long-memory extension of the restricted constant conditional correlations (CCC) model introduced by Bollerslev (1990), and we propose a new unrestricted conditional...
Persistent link: https://www.econbiz.de/10009579181
This paper offers a new approach for estimation and forecasting of the volatility of financial time series. No assumption is made about the parametric form of the processes, on the contrary we only suppose that the volatility can be approximated by a constant over some interval. In such a...
Persistent link: https://www.econbiz.de/10009626679
Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on multivariate GARCH models. These models assume that the variance of the innovation distribution follows a time dependent process conditional on information which is generated by...
Persistent link: https://www.econbiz.de/10009615423
We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has...
Persistent link: https://www.econbiz.de/10009612037