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A Generalized ARFIMA Process with Markov-Switching Fractional DifferencingParameter

Tsay, Wen-Jen; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

Persistent link: https://www.econbiz.de/10005861035

Forward and reverse representations for Markov chains

Milstein, Grigori N.; Schoenmakers, John G. M.; … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

In this paper we carry over the concept of reverse probabilistic representations developed in Milstein, Schoenmakers, Spokoiny (2004) for diffusion processes, to discrete time Markov chains. We outline the construction of reverse chains in several situations and apply this to processes which are...

Persistent link: https://www.econbiz.de/10005861319

A Two State Model for Noise-Induced Resonance in Bistable Systems with Delay

Fischer, Markus; Imkeller, Peter - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005

The subject of the present paper is a simplified model for a symmetric bistable system with memory or delay, the reference model, which in the presence of noise exhibits a phenomenon similar to what is known as stochastic resonance. The reference model is given by a one dimensional parametrized...

Persistent link: https://www.econbiz.de/10005862111

Exchange Rate Uncertainty and Trade Growth - A Comparison ofLinear and Nonlinear (Forecasting) Models

Herwartz, Helmut; Weber, Henning - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

A huge body of empirical and theoretical literature has emerged on the relationship between foreign exchange (FX) uncertainty and international trade. Empirical findings about the impact of FX uncertainty on trade figures are at best weak and often ambiguous with respect to its direction. Almost...

Persistent link: https://www.econbiz.de/10005861000

Economic Integration and the Foreign Exchange

Weber, Enzo - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

This paper demonstrates effects of economic convergence processes on the foreign exchange behaviour in a monetary modelling approach. Since the exchange rate represents the relative price of two currencies, commonness of stochastic trends between the fundamental determinants of supply and demand...

Persistent link: https://www.econbiz.de/10005861005

New Evidence on the Puzzles. Results from Agnostic Identification on Monetary Policy and Exchange Rates.

Scholl, Almuth; Uhlig, Harald - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005

Past empirical research on monetary policy in open economies has found evidence of the delayed overshooting, the forward discount and the exchange rate puzzles. We revisit the effects of monetary policy on exchange rates by applying Uhligs (2005) identification procedure that...

Persistent link: https://www.econbiz.de/10005861978

Robust Optimal Control for a Consumptioninvestment Problem

Schied, Alexander - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

volatility and long-term trend are driven by an external stochastic factor process. The robust utility functional is defined in …

Persistent link: https://www.econbiz.de/10008939751

Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia

Hautsch, Nikolaus; Ou, Yangguoyi - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term … additional determinants of future excess returns. Finally, we illustrate that the yield and volatility factors are closely …

Persistent link: https://www.econbiz.de/10005860483

Simultaneous Stochastic Volatility TransmissionAcross American Equity Markets

Weber, Enzo - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

Information ows across international financial markets typically occur within hours, making volatility spillover appear … contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility model developed in … heteroscedasticity of the structural volatility innovations, and estimation takes place in an appropriately specified state space setup …

Persistent link: https://www.econbiz.de/10005860498

Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models

Hautsch, Nikolaus; Jeleskovic, Vahidin - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven bypast trading …

Persistent link: https://www.econbiz.de/10005860504