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

- 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 …

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 …

; Geometric Mixing ; Local Polynomial Regression ; Marginal Integration ; Multiplicative Volatility ; Stationary Probability … mean. For the volatility function, i.e., the conditional variance given the past, a multiplicative structure is more … appropriate than an additive one, as the volatility is a positive scale function and a multiplicative model provides a better …

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

This paper offers a new approach for estimation and forecasting of the volatility of financial time series. No … assumption is made about the parametric form of the processes, on the contrary we only suppose that the volatility can be … homogeneity, then the estimate of the volatility can be simply obtained by local averaging. We construct a locally adaptive …

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 …