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Modeling real exchange rate persistence in Chile
Salazar, Leonardo - In: Econometrics 5 (2017) 3, pp. 1-21
The long and persistent swings in the real exchange rate have for a long time puzzled economists. Recent models built on imperfect knowledge economics seem to provide a theoretical explanation for this persistence. Empirical results, based on a cointegrated vector autoregressive (CVAR) model,...
Persistent link: https://www.econbiz.de/10011995239
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Cointegration and Forward and Spot Exchange Rate Regressions
Zivot, Eric - EconWPA - 1998
In this paper we investigate in detail the relationship between models of cointegration between the current spot exchange rate, st, and the current forward rate, ft, and models of cointegration between the future spot rate, st+1, and ft and the implications of this relationship for tests of the...
Persistent link: https://www.econbiz.de/10005119154
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Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes
Wagner, Niklas; Marsh, Terry A. - EconWPA - 2004
properties of adaptive tail index estimators under the class of student-t marginal distribution functions including GARCH and …
Persistent link: https://www.econbiz.de/10005407899
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Copula-based vMEM specifications versus alternatives: The case of trading activity
Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - In: Econometrics 5 (2017) 2, pp. 1-24
We discuss several multivariate extensions of the Multiplicative Error Model to take into account dynamic interdependence and contemporaneously correlated innovations (vector MEM or vMEM). We suggest copula functions to link Gamma marginals of the innovations, in a specification where past...
Persistent link: https://www.econbiz.de/10011755372
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One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -
Kaiser, Thomas - EconWPA - 1996
factor models with GARCH dynamics (GARCH(1,1)-M, IGARCH(1,1)-M, Nonlinear Asymmetric GARCH(1,1)-M and Glosten …-Jagannathan-Runkle GARCH(1,1)-M) and three different distributions for the disturbances (Normal, Student's t and Generalized Error Distribution … compared with forecasts based on individual GARCH(1,1)-M models, static factor models, naive, random walk and exponential …
Persistent link: https://www.econbiz.de/10005407963
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Using a theory-consistent CVAR scenario to test an exchange rate model based on imperfect knowledge
Juselius, Katarina - In: Econometrics 5 (2017) 3, pp. 1-20
A theory-consistent CVAR scenario describes a set of testable regularieties one should expect to see in the data if the basic assumptions of the theoretical model are empirically valid. Using this method, the paper demonstrates that all basic assumptions about the shock structure and...
Persistent link: https://www.econbiz.de/10011995240
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Timing foreign exchange markets
Malone, Samuel W.; Gramacy, Robert B.; ter Horst, Enrique - In: Econometrics 4 (2016) 1, pp. 1-23
To improve short-horizon exchange rate forecasts, we employ foreign exchange market risk factors as fundamentals, and Bayesian treed Gaussian process (BTGP) models to handle non-linear, time-varying relationships between these fundamentals and exchange rates. Forecasts from the BTGP model...
Persistent link: https://www.econbiz.de/10011755322
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Real exhange rate misalignment in Hungary: a fractionally integrated=20 threshold model
DUFRENOT, Gilles; GRIMAUD, Elisabeth; Eug=E9nie LATIL; … - EconWPA - 2003
This paper proposes an estimate of the Hungarian real exchange rate=20 misalignments using fractionally integrated threshold models (FI-STARMA and=20= FI-TARMA=20 processes). This allows us to simultaneously take into account two types of=20 persistence: a long memory behavior due to the...
Persistent link: https://www.econbiz.de/10005124891
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Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power
Kocenda, Evzen; Briatka, Lubos - EconWPA - 2004
This paper builds on Kočenda (2001) and extends it in two ways. First, two new intervals of the proximity parameter ε (over which the correlation integral is calculated) are specified. For these ε- ranges new critical values for various lengths of the data sets are introduced and through...
Persistent link: https://www.econbiz.de/10005407903
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The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications
Korenok, Oleg; Radchenko, Stanislav - EconWPA - 2005
stochastic volatility (STARTZ-SV) or as Student-t with GARCH volatility (STARTZ-TGARCH). Using the dynamics of Norwegian krone …
Persistent link: https://www.econbiz.de/10005119119