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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
dealing with more than one lag. When the mean has an additive structure, however, better estimation methods are available … estimation of the conditional mean, it is equally if not more important to measure the future risk of the series along with the … interpretation of each lagged value's influence on such a function. In this paper we consider the joint estimation of both the …
Persistent link: https://www.econbiz.de/10009578559
theory but rather base the decision of the lag structure on a robust Lagrange Multiplier test. In contrast to U.S. data we …
Persistent link: https://www.econbiz.de/10009578570
Persistent link: https://www.econbiz.de/10001919426
Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on multivariate GARCH models. These models assume that the variance of the innovation distribution follows a time dependent process conditional on information which is generated by...
Persistent link: https://www.econbiz.de/10009615423
related to relatively infrequent changes in regime. U sing the theory of Markov chains we provide sufficient conditions for …
Persistent link: https://www.econbiz.de/10009621424
This paper offers a new approach for estimation and forecasting of the volatility of financial time series. No …. -- stochastic volatility model ; adaptive estimation ; local homogeneity …
Persistent link: https://www.econbiz.de/10009626679
, 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
evidence for a velocity-volatility linkage. However the estimation of volatility-augmented money demand functions reveals that …
Persistent link: https://www.econbiz.de/10009632601
We analyze daily changes of two log foreign exchange (FX) rates involving the Deutsche Mark (DEM) for the period 1975 - 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering we fit a GARCH(l,l)-model with leptokurtic...
Persistent link: https://www.econbiz.de/10009616784