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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
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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
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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
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Backtesting beyond VaR
Härdle, Wolfgang; Stahl, Gerhard - 1999
VaR models are related to statistical forecast systems. Within that framework different forecast tasks including Value-at-Risk and shortfall are discussed and motivated. A backtesting method based on the shortfall is developed and applied to VaR forecasts of areal portfolio. The analysis shows...
Persistent link: https://www.econbiz.de/10009582401
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Common factors governing VDAX movements and the maximum loss
Härdle, Wolfgang; Schmidt, Peter - 2000
tool for options portfolios using the "Maximum Loss" methodology based on Principal Components. -- Implied Volatility ; DAX …
Persistent link: https://www.econbiz.de/10009612026
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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
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Adaptive estimation for a time inhomogeneous stochastic-volatility model
Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000
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 …
Persistent link: https://www.econbiz.de/10009582392
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Forecasting cointegrated VARMA processes
Lütkepohl, Helmut - 1999
Persistent link: https://www.econbiz.de/10009581104
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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
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Testing stochastic cycles in macroeconomic time series
Gil-Alaña, Luis A. - 2000
A particular version of the tests of Robinson (1994) for testing stochastic cycles in macroeconomic time series is proposed in this article. The tests have a standard limit distribution and are easy to implement in raw time series. A Monte Carlo experiment is conducted, studying the size and the...
Persistent link: https://www.econbiz.de/10009611541