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A note on stochastic volatility, GARCH models, and hyperbolic distributions
Jaschke, Stefan R. - 1997
We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions …
Persistent link: https://www.econbiz.de/10009577459
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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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Multivariate volatility models
Fengler, Matthias R.; Herwartz, Helmut - 2001
Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on …
Persistent link: https://www.econbiz.de/10009615423
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Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.; Herwartz, Helmut - 1999
prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …
Persistent link: https://www.econbiz.de/10009580460
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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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Statistical inference for time-inhomogeneous volatility models
Mercurio, Danilo; Spokojnyj, Vladimir G. - 2002
This paper offers a new approach for estimation and forecasting of the volatility of financial time series. No …. -- stochastic volatility model ; adaptive estimation ; local homogeneity … assumption is made about the parametric form of the processes, on the contrary we only suppose that the volatility can be …
Persistent link: https://www.econbiz.de/10009626679
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A local instrumental estimation method for generalized additive volatility models
Kim, Woocheol; Linton, Oliver - 2000
already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric …
Persistent link: https://www.econbiz.de/10009612037
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Modeling the US short-term interest rate by mixture autoregressive processes
Lanne, Markku; Saikkonen, Pentti - 2000
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 …
Persistent link: https://www.econbiz.de/10009612047
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Unemployment and input prices : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
This paper examines the relationship between unemployment, real oil price and real interest rates in Canada. Instead of following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration techniques which allow for the...
Persistent link: https://www.econbiz.de/10009614880
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Fractional integration and the dynamics of UK unemployment
Gil-Alaña, Luis A.; Henry, S. G. B. - 2000
This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional approaches based on I(0) stationary or I(1) (integrated and/or cointegrated) models, we use the fractional integration framework. In doing so, we allow for a more careful study of the...
Persistent link: https://www.econbiz.de/10009582384