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 …

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

- 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering … prices. Having identified subperiods of homogeneous volatility dynamics we concentrate on stylized facts to distinguish these … volatility regimes. The bottom level of estimated volatility turns out be considerably higher during the second part of the …

exchange the paper compares estimation results of parametric and nonparametric autoregressive models with respect to possible …

already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric …