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Modelling exchange rates volatility with multivariate long-memory ARCH processes
Teyssière, Gilles - 1999 - Rev.
We consider two multivariate long-memory ARCH models, which extend the univariate long-memory ARCH models, we first consider a long-memory extension of the restricted constant conditional correlations (CCC) model introduced by Bollerslev (1990), and we propose a new unrestricted conditional...
Persistent link: https://www.econbiz.de/10009579181
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Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics
Nielsen, Morten Ørregaard - 2004
We propose a Lagrange Multiplier test of the null hypothesis of cointegration in fractionally cointegrated models. The test statistic utilizes fully modified residuals to cancel the endogeneity and serial correlation biases, and we show that standard asymptotic properties apply under the null...
Persistent link: https://www.econbiz.de/10014071206
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Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics
Nielsen, Morten Ørregaard - 2004
We propose a Lagrange Multiplier (LM) test of the null hypothesis of cointegration in fractionally cointegrated models. The test statistic utilizes fully modified residuals to cancel the endogeneity and serial correlation biases, and we show that standard asymptotics apply. With i.i.d. Gaussian...
Persistent link: https://www.econbiz.de/10014116819
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Short patches of outliers, ARCH and volatility modeling
Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...
Persistent link: https://www.econbiz.de/10011284080
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Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets
Funke, Michael; Loermann, Julius; Tsang, Andrew - 2020
We analyse volatility spillovers between the on- and offshore (CNY and CNH) Renminbi exchange rates towards the US … dollar (USD). The volatility impulse response (VIRF) methodology introduced by Hafner and Herwatz (2006) is applied to … in an efficient manner, allowing to analyse the significance and persistence of volatility shocks and associated …
Persistent link: https://www.econbiz.de/10012294928
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Multivariate Mixture-of-Normals Hypothesis in Exchange Rates
Distaso, Walter - 2013
for time-varying volatility of the realized measures as well as non-normal innovations. The model fits data well and … uncovers nonlinear dependencies between return and volatility innovations …
Persistent link: https://www.econbiz.de/10013092626
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Nonparametric modelling of financial time series
Heid, Frank - 1998
Persistent link: https://www.econbiz.de/10000668367
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Nonparametric modeling in financial time series
Franke, Jürgen; Kreiß, Jens-Peter; Mammen, Enno - In: Handbook of financial time series, (pp. 927-952). 2009
Persistent link: https://www.econbiz.de/10003834268
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Nonparametric estimation and inference for conditional density based Granger causality measures
Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264
Persistent link: https://www.econbiz.de/10010433362
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Forecasting Implied Volatility in Foreign Exchange Markets : A Functional Times Series Approach
Kearney, Fearghal - 2016
We utilise functional time series (FTS) techniques to characterise and forecast implied volatility in foreign exchange … markets. In particular, we examine the daily implied volatility curves of FX options, namely; EUR-USD, EUR-GBP, and EUR … volatility shapes that closely match empirical data during the volatile 2006-2013 period. Furthermore, the FTS model …
Persistent link: https://www.econbiz.de/10013004985