- 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 …

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 …

estimation methodologies such as single-equation error correction and first differences specifications. A longer term perspective …

The so-called 'Monday effect ' has been found for various stock markets of the world. The empirical finding that Monday … exchange the paper compares estimation results of parametric and nonparametric autoregressive models with respect to possible …

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

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

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

estimation …

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 …