series with a zero spectral density at some frequency. Estimation and inference can be performed using an Instrumental … an analysis of the comovement between Germany, Austria and the United Kingdom is presented. -- common feature analysis …

find that the volatility depends on either the interest rate level or information shocks but not on both. Finally, we … propose to describe the short term interest rate's dynamics by means of an AR(1) model with stochastic volatility. -- Term … Structure Models ; Stochastic Volatility ; ARCH …

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 …

prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …

simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an …-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first … propose a GMM estimation procedure for the Autoregressive Conditional Duration model. The method is then extended to the …

, and the Deutschmark-US dollar. The estimation results for both models show: (i) that the unrestricted model outperforms …

in Germany in the period of monetary targeting from 1975 to 1998 is estimated. The implications of the theoretical model …

Germany during the period of monetary targeting from 1975 to 1998 is analyzed. While existing studies of the credit channel … empirical evidence for the effectiveness and relevance of a credit channel in Germany can be reported. -- vectorautoregressive …