following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration … three variables are I(1). But we only find cointegration in the presence of autocorrelated disturbances, which means that … opposed to classical cointegration, which implies long memory and slow reversion to equilibrium. This suggests that an …

, 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 …

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

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