Narrow search
Showing 1 - 10 of 5,756
Cover Image
Exchange Rates and Oil Prices : A Multivariate Stochastic Volatility Analysis
Vo, Minh - 2011
volatility (MSV) and the multivariate conditional correlation GARCH (CC-MGARCH) framework to investigate the volatility … major findings. First, the volatility in each market is very persistent. It varies over time in a predictable manner …, conditioned on the past information. Second, the volatility in the oil market Granger-causes the volatility in the FX markets but …
Persistent link: https://www.econbiz.de/10013131145
Cover Image
Is market fear persistent? : a long-memory analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2017
This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the sample period 2004-2016, as well as some...
Persistent link: https://www.econbiz.de/10011664417
Cover Image
Is market fear persistent? : a long-memory analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2017
This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the sample period 2004-2016, as well as some...
Persistent link: https://www.econbiz.de/10011669019
Cover Image
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011
Persistent link: https://www.econbiz.de/10009720703
Cover Image
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
Andersen, Torben G. - 2016
ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized …
Persistent link: https://www.econbiz.de/10013004300
Cover Image
Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …
Persistent link: https://www.econbiz.de/10003770817
Cover Image
Multi-factor Gegenbauer processes and European inflation rates
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2009
In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...
Persistent link: https://www.econbiz.de/10003832660
Cover Image
Multi-Factor Gegenbauer processes and European inflation rates
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2009
In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...
Persistent link: https://www.econbiz.de/10003850335
Cover Image
Multi-Factor Gegenbauer Processes and European Inflation Rates
Caporale, Guglielmo Maria - 2014
In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...
Persistent link: https://www.econbiz.de/10013071161
Cover Image
Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...
Persistent link: https://www.econbiz.de/10011379469