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Stylized facts of financial time series and three popular models of volatility

Malmsten, Hans (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], Rev. September 3, 2004

Properties of three well-known and frequently applied first-order models for modelling and forecasting volatility in … Conditional Heteroskedasticity (GARCH), the Exponential GARCH and the Autoregressive Stochastic Volatility model. The focus is on … heteroskedasticity ; evaluation of volatility models ; exponential GARCH ; GARCH ; modelling return series ; stochastic volatility …

Persistent link: https://www.econbiz.de/10002199620

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

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

On monetary policy and interest rate determination in an open economy

Hörngren, Lars - 1986

Persistent link: https://www.econbiz.de/10000698300

New techniques to extract market expectations from financial instruments

Söderlind, Paul; Svensson, Lars E. O. - 1996

Persistent link: https://www.econbiz.de/10000955625

Minimal realizations of forward rates

Björk, Tomas; Gombani, Andrea - 1997

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

A latent factor model of European exchange rate risk premia

Alexius, Annika; Sellin, Peter - 1997

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

Essays on exchange rates, prices and interest rates

Alexius, Annika - 1997

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

Monetary regimes, inflation and monetary reform : an essay in honor of Axel Leijonhufvud

Bordo, Michael D.; Jonung, Lars - 1994

Persistent link: https://www.econbiz.de/10000888960

The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series

Dijk, Dick van (contributor); Strikholm, Birgit (contributor) - 2001 - [Elektronische Ressource], Received: February 2003, Rev. June 1, 2004

Changes in the seasonal patterns of macroeconomic time series may be due to the effects of business cycle fluctuations or to technological and institutional change or both. We examine the relative importance of these two sources of change in seasonality for quarterly industrial production series...

Persistent link: https://www.econbiz.de/10001600051