Narrow search
Showing 1 - 10 of 341
Cover Image
Flexible stochastic volatility structures for high frequency financial data
Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998
Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …
Persistent link: https://www.econbiz.de/10009578026
Cover Image
Modelling exchange rates volatility with multivariate long-memory ARCH processes
Teyssière, Gilles - 1999 - Rev.
, 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
Cover Image
Semiparametric diffusion estimation and application to a stock market index
Härdle, Wolfgang; Kleinow, Torsten; Korostelev, … - 2001
The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...
Persistent link: https://www.econbiz.de/10009613611
Cover Image
Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks
Gil-Alaña, Luis A. - 2000
Tests for unit roots and other nonstationary hypotheses that were proposed by Robinson (1994) are applied in this article to the Nelson and Plosser's (1982) series. The tests can be expressed in a way allowing for structural breaks under both the null and the alternative hypotheses. When...
Persistent link: https://www.econbiz.de/10009582385
Cover Image
Test procedures for unit roots in time series with level shifts at unknown time
Lanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti - 2001
Two types of unit root tests which accommodate a structural level shift at a known point in time are extended to the situation where the break date is unknown. It is shown that for any estimator for the break date the tests have the same asymptotic distribution as the corresponding tests under...
Persistent link: https://www.econbiz.de/10009613596
Cover Image
On the (nonlinear) relationship between exchange rate uncertainty and trade : an investigation of US trade figures in the Group of Seven
Herwartz, Helmut (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001918978
Cover Image
Forecasting cointegrated VARMA processes
Lütkepohl, Helmut - 1999
Persistent link: https://www.econbiz.de/10009581104
Cover Image
Nonparametric autoregression with multiplicative volatility and additive mean
Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens Perch - 1998
additive mean and the multiplicative volatility. The technique used is marginally integrated local polynomial estimation. The … 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 …
Persistent link: https://www.econbiz.de/10009578559
Cover Image
Quantile-VaR is the wrong measure to quantify market risk for regulatory purposes
Jaschke, Stefan R. - 2001
Starting from the objective of banking supervision - to minimize the overall costs of banking to the general public - we show that the current standard of quantifying market risk is flawed. It is perfectly aligned with the interests of banks' shareholders and management, but not with the...
Persistent link: https://www.econbiz.de/10009614286
Cover Image
Computational resources for extremes
Kleinow, Torsten; Thomas, Michael - 1999
The necessity to quantify the risk caused by the high volatility of asset prices, large insurance claims or floods has …
Persistent link: https://www.econbiz.de/10009582413