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A latent factor model of European exchange rate risk premia

Alexius, Annika; Sellin, Peter - 1997

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

Nonlinearities and regime shifts in financial time series

Åsbrink, Stefan E. - 1997

Persistent link: https://www.econbiz.de/10000958387

A new non-linear GARCH model

Hagerud, Gustaf E. - 1997

Persistent link: https://www.econbiz.de/10000958392

Essays on exchange rates, prices and interest rates

Alexius, Annika - 1997

Persistent link: https://www.econbiz.de/10000961609

Finite dimensional Markovian realizations for stochastic volatility forward rate models

Björk, Tomas (contributor); Landén, Camilla (contributor); … - 2002 - [Elektronische Ressource], This version: May 6, 2002

we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …

Persistent link: https://www.econbiz.de/10001664233

An application of the analogy between vector ARCH and vector random coefficient autoregressive models

He, Changli (contributor); Teräsvirta, Timo (contributor) - 2002 - [Elektronische Ressource]

In this paper we derive conditions for the conditional covariance matrix to be positive definite in a general vector ARCH model. The conditions can be easily extended to the diagonal vector GARCH model. For the general vector GARCH model, analytical expressions for the conditions in terms of the...

Persistent link: https://www.econbiz.de/10001714621

Modelling the demand for M3 in the unified Germany

Wolters, Jürgen; Teräsvirta, Timo; Lütkepohl, Helmut - 1996

Persistent link: https://www.econbiz.de/10000936487

On the role of pricing exports in a third currency

Friberg, Richard - 1996

Persistent link: https://www.econbiz.de/10000951392

Minimal realizations of forward rates

Björk, Tomas; Gombani, Andrea - 1997

Persistent link: https://www.econbiz.de/10000969940

A dynamic conditionally heteroscedastic stochastic frontier model

Löthgren, Mickael - 1998

Persistent link: https://www.econbiz.de/10000984774