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A time series model for an exchange rate in a target zone with applications

Lundbergh, Stefan (contributor); … - 2003 - [Elektronische Ressource]

modeller to estimate an implicit target zone if it exists. A modelling cycle consisting of specification, estimation, and …

Persistent link: https://www.econbiz.de/10001786381

Pricing-to-market in Swedish exports

Alexius, Annika; Vredin, Anders - 1996

Persistent link: https://www.econbiz.de/10000956019

A latent factor model of European exchange rate risk premia

Alexius, Annika; Sellin, Peter - 1997

Persistent link: https://www.econbiz.de/10000958083

Openness and the exchange rate exposure of national stock markets : a note

Friberg, Richard; Nydahl, Stefan - 1997

Persistent link: https://www.econbiz.de/10000971403

On the (nonlinear) relationship between exchange rate uncertainty and trade : an investigation of US trade figures in the Group of Seven

Herwartz, Helmut (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001918978

The monetary model of the exchange rate : a structural interpretation

Moersch, Mathias; Nautz, Dieter - 1998

exchange rate. The separate estimation of long-run money demands leads to a "structural" error correction equation which allows …

Persistent link: https://www.econbiz.de/10009574885

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

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

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

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

The empirical determinants of the Euro : short and long run perspectives

Chinn, Menzie David - 2000

estimation methodologies such as single-equation error correction and first differences specifications. A longer term perspective …

Persistent link: https://www.econbiz.de/10009583879