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Finance, investment, and firm value in Germany and the US : a comparative analysis
Nowak, Eric - 1998
Germany and the United States are generally seen as the two competing systems of corporate governance. In search for a comparative welfare analysis of the financial systems, we are interested in (i) the aggregate value-added of corporate investments in the two countries and in (ii) the...
Persistent link: https://www.econbiz.de/10009578016
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Modelling exchange rates volatility with multivariate long-memory ARCH processes
Teyssière, Gilles - 1999 - Rev.
, and the Deutschmark-US dollar. The estimation results for both models show: (i) that the unrestricted model outperforms …
Persistent link: https://www.econbiz.de/10009579181
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Adaptive estimation for a time inhomogeneous stochastic-volatility model
Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000
problem of online estimation of current values of w = w(T) and a = a(T) from the observations SI , ... ,ST. We propose an … adaptive method of estimation which does not use any information about time homogeneity of the obscured process. We apply this …
Persistent link: https://www.econbiz.de/10009582392
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Modeling the US short-term interest rate by mixture autoregressive processes
Lanne, Markku; Saikkonen, Pentti - 2000
A new kind of mixture autoregressive model with GARCH errors is introduced and applied to the U.S. short-term interest rate. According to the diagnostic tests developed in the paper and further informal checks the model is capable of capturing both of the typical characteristics of the...
Persistent link: https://www.econbiz.de/10009612047