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

This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real …. -- fractional integration ; fractional cointegration ; real exchange rates …

parameter restrictions. A cointegration analysis for the unified Germany reveals a long rum relationship between real wages … uncertainty. In contrast to previous studies for West Germany, we find that, unemployment is equally determined by technology … ; Cointegration …

This paper investigates whether job stability in western Germany shows any signs of decline and compares the findings …

following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration … three variables are I(1). But we only find cointegration in the presence of autocorrelated disturbances, which means that … opposed to classical cointegration, which implies long memory and slow reversion to equilibrium. This suggests that an …

the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations … (EMH) ; Present Value (PV) models ; fractional cointegration …

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …