find that the volatility depends on either the interest rate level or information shocks but not on both. Finally, we … propose to describe the short term interest rate's dynamics by means of an AR(1) model with stochastic volatility. -- Term … Structure Models ; Stochastic Volatility ; ARCH …

- 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering … prices. Having identified subperiods of homogeneous volatility dynamics we concentrate on stylized facts to distinguish these … volatility regimes. The bottom level of estimated volatility turns out be considerably higher during the second part of the …

Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on …

prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …

is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an …

tool for options portfolios using the "Maximum Loss" methodology based on Principal Components. -- Implied Volatility ; DAX …

volatility of short-term money growth. The present paper investigates the impact of German money growth volatility on income … velocity and money demand in view of Friedman's money growth volatility hypothesis. Granger-causality tests provide some … evidence for a velocity-volatility linkage. However the estimation of volatility-augmented money demand functions reveals that …