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

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 … related to relatively infrequent changes in regime. U sing the theory of Markov chains we provide sufficient conditions for …

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 …

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 … additive mean and the multiplicative volatility. The technique used is marginally integrated local polynomial estimation. The …

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

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 …