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

Monetary System inception in March 1979. -- heteroskedasticity ; Long-memory processes ; multivariate long-memory ARCH models …

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

relationships between monetary aggregates and other macroeconomic variables. This requires imposing restrictions on the correlation … possibility is to adopt restrictions from economic theory. The purpose of this paper is to investigate the implications of the … latter technique in a simple monetary framework for both Germany and the Euro area. VAR/VECM residuals are interpreted as …

analyze the effects of monetary policy shocks for the U.S. economy. While the response patterns from full and subset VARs are … selection ; monetary policy shocks ; subset models ; vector autoregressions …

- 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering … change of the monetary policies in the US and Japan, the latter of which is followed by a long period of decreasing asset … prices. Having identified subperiods of homogeneous volatility dynamics we concentrate on stylized facts to distinguish these …

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

We emphasize the importance of properly identifying the long-run relations underlying the monetary model of the … an interpretation of the various channels affecting the exchange rate in the monetary model. We apply this approach to …