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

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

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 …

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

- 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 …

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 …

In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility …. For such series, conventional GARCH models have often proved unsatisfactory because they tend to exaggerate volatility …