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Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - 1999

prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …

Persistent link: https://www.econbiz.de/10009580460

Beyond "manucentrism" : some fresh facts about job and worker flows

Bingley, Paul; Eriksson, Tor; Werwatz, Axel; … - 1999

This paper gives a comprehensive picture of job and worker flows for the entire Danish economy. We exploit a unique central administrative register encompassing all employees of all workplaces across all sectors throughout two business cycles. This enables us to broaden the focus of the previous...

Persistent link: https://www.econbiz.de/10009581098

Nonlinear error correction and the efficient market hypothesis : the case of German dual-class shares

Breitung, Jörg; Wulff, Christian - 1999

The efficient market hypothesis implies that asset prices cannot be cointegrated. On the other hand, arbitrage processes prevent prices of fundamentally related assets from drifting far away. An attractive model that reconciles these two conflicting facts is the nonlinear error correction...

Persistent link: https://www.econbiz.de/10009581105

Fractional cointegration and real exchange rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real …. -- fractional integration ; fractional cointegration ; real exchange rates …

Persistent link: https://www.econbiz.de/10009611542

Empirical modeling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications

Herwartz, Helmut; Reimers, Hans-Eggert - 2001

- 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering … prices. Having identified subperiods of homogeneous volatility dynamics we concentrate on stylized facts to distinguish these … volatility regimes. The bottom level of estimated volatility turns out be considerably higher during the second part of the …

Persistent link: https://www.econbiz.de/10009616784

Multivariate volatility models

Fengler, Matthias R.; Herwartz, Helmut - 2001

Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on …

Persistent link: https://www.econbiz.de/10009615423

Adaptive estimation for a time inhomogeneous stochastic-volatility model

Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000

is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an …

Persistent link: https://www.econbiz.de/10009582392

Fractional cointegration and tests of present value models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations … (EMH) ; Present Value (PV) models ; fractional cointegration …

Persistent link: https://www.econbiz.de/10009582383

Fractional integration and the dynamics of UK unemployment

Gil-Alaña, Luis A.; Henry, S. G. B. - 2000

This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional approaches based on I(0) stationary or I(1) (integrated and/or cointegrated) models, we use the fractional integration framework. In doing so, we allow for a more careful study of the...

Persistent link: https://www.econbiz.de/10009582384

A fractionally integrated model with a mean shift for the US and the UK real oil prices

Gil-Alaña, Luis A. - 2000

In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally integrated processes with a mean shift. We use different versions of the tests of Robinson (1994), which have standard null and local limit distributions. The results indicate that if we model the...

Persistent link: https://www.econbiz.de/10009611543