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Multivariate stochastic volatility

Daníelsson, Jón - 1995

Persistent link: https://www.econbiz.de/10000913125

Daily exchange rate behaviour and hedging of currency risk

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 2000 - rev.

Persistent link: https://www.econbiz.de/10001554496

Daily exchange rate behaviour and hedging of currency risk

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999

Persistent link: https://www.econbiz.de/10001412189

Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form

Bos, Charles S.; Shephard, Neil G. - 2004

In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...

Persistent link: https://www.econbiz.de/10011334849

The euro introduction and non-euro currencies

Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2005

Persistent link: https://www.econbiz.de/10002851741

Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility

Bos, Charles S. - 2008

Persistent link: https://www.econbiz.de/10003645209

Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility

Bos, Charles S. - 2008

stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non … setting is used to estimate the intra-day trend in the Euro/U.S. Dollar exchange rate. …

Persistent link: https://www.econbiz.de/10011374428

The euro introduction and non-euro currencies

Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006

, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using … formal decision to proceed with the euro was made in December 1996 and at the time of the actual introduction of the euro in …

Persistent link: https://www.econbiz.de/10011343243

Nonlinear time series and neural-network models of exchange rates between the US Dollar and major currencies

Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2015

in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models …

Persistent link: https://www.econbiz.de/10011378229

Location of investors and capital flight

Botman, Dennis P. J.; Diks, Cees G. H. - 2002

Persistent link: https://www.econbiz.de/10001646853