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A new non-linear GARCH model
Hagerud, Gustaf E. - 1997
Persistent link: https://www.econbiz.de/10000958392
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Monetary policy and bond option pricing in an analytical RBC model
Söderlind, Paul (contributor) - 2001 - [Elektronische Ressource], Rev. January 3, 2003
This paper analyzes how bond option prices are affected by different types of monetary policy. Analytical results from a general equilibrium model with sticky wages show that employment or output targeting typically give lower bond option prices than inflation targeting. -- inflation targeting ;...
Persistent link: https://www.econbiz.de/10001600072
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Inflation rules with consistent excape clauses
Alexius, Annika - 1996
Persistent link: https://www.econbiz.de/10000928603
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Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations
Silvennoinen, Annastiina (contributor);  … - 2005 - [Elektronische Ressource], Rev. October 2005
; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …
Persistent link: https://www.econbiz.de/10002570445
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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
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Nonlinearities and regime shifts in financial time series
Åsbrink, Stefan E. - 1997
Persistent link: https://www.econbiz.de/10000958387
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Essays on exchange rates, prices and interest rates
Alexius, Annika - 1997
Persistent link: https://www.econbiz.de/10000961609
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Finite dimensional Markovian realizations for stochastic volatility forward rate models
Björk, Tomas (contributor); Landén, Camilla (contributor);  … - 2002 - [Elektronische Ressource], This version: May 6, 2002
the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward … volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework … we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent …
Persistent link: https://www.econbiz.de/10001664233
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An application of the analogy between vector ARCH and vector random coefficient autoregressive models
He, Changli (contributor); Teräsvirta, Timo (contributor) - 2002 - [Elektronische Ressource]
; multivariate volatility model ; random coefficient model ; volatility forecasting …
Persistent link: https://www.econbiz.de/10001714621
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Minimal realizations of forward rates
Björk, Tomas; Gombani, Andrea - 1997
Persistent link: https://www.econbiz.de/10000969940