Narrow search
Showing 1 - 10 of 16,552
Cover Image
Exchange rates and fractional integration revisited
Sephton, Peter S. - In: Applied financial economics letters 4 (2008) 4/6, pp. 383-387
Persistent link: https://www.econbiz.de/10003808147
Cover Image
Exchange rate regime, real misalignment and currency crises
Holtemöller, Oliver; Mallick, Sushanta Kumar - In: Economic modelling 34 (2013), pp. 5-14
Persistent link: https://www.econbiz.de/10010360656
Cover Image
The predictive ability of several models of exchange rate volatility
West, Kenneth D.; Cho, Dongchul - 1994
Persistent link: https://www.econbiz.de/10000884768
Cover Image
The predictive ability of several models of exchange rate volatility
West, Kenneth D.; Cho, Dongchul - 1994 - Rev
Persistent link: https://www.econbiz.de/10000892226
Cover Image
Financial markets and the theory of chaos
Gilmore, Claire Gilbert - 1992
Persistent link: https://www.econbiz.de/10000896128
Cover Image
An investigation of long range dependence in intra-day foreign exchange rate volatility
Henry, Mark S.; Payne, Richard - 1997
Persistent link: https://www.econbiz.de/10000961212
Cover Image
Time varying hierarchical archimedean copulae
Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - 2010
-Gaussian dependency structures with a small number of parameters. In this paper we develop a novel adaptive estimation technique of the … ; Archimedean copula ; adaptive estimation …
Persistent link: https://www.econbiz.de/10003953027
Cover Image
SEMIFAR forecasts, with applications to foreign exchange rates
Beran, Jan; Ocker, Dirk - 1999
SEMIFAR models introduced in Beran (1999) provide a semiparametric modelling framework that enables the data analyst to separate deterministic and stochastic trends as well as short- and long-memory components in an observed time series. A correct distinction between these components, and in...
Persistent link: https://www.econbiz.de/10011544579
Cover Image
Parameter estimation and forecasting for multiplicative lognormal cascades
Leövey, Andrés E.; Lux, Thomas - 2011
Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …
Persistent link: https://www.econbiz.de/10009389845
Cover Image
Residual log-periodogram inference for long-run relationships
Hassler, Uwe; Mármol, Francesc; Valasco, Carlos - In: Journal of econometrics 130 (2006) 1, pp. 165-207
Persistent link: https://www.econbiz.de/10003228637