, and the Deutschmark-US dollar. The estimation results for both models show: (i) that the unrestricted model outperforms …

The paper is concerned with the estimation of the long memory parameter in a conditionally heteroskedastic model … models ; semiparametric estimation ; modified R/S ; KPSS and V/S statistics ; periodogram …

capturing both of the typical characteristics of the short-term interest rate: volatility persistence and the dependence of … volatility on the level of the interest rate. The model also allows for regime switches whose presence has been a third central …

We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions …

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

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

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …

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