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Conditional heteroskedasticity in the volatility of asset returns
Ding, Yashuang - 2021
Persistent link: https://www.econbiz.de/10013262866
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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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Modeling and forecasting exchange rate volatility in time-frequency domain
Barunik, Jozef; Krehlik, Tomas; Vacha, Lukas - 2016
This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a … forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the … influence of different timescales on volatility forecasts. The decomposition of volatility into several timescales approximates …
Persistent link: https://www.econbiz.de/10011412440
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Monitoring financial time series
Schmid, Wolfgang; Schipper, Stefan - 2000
Persistent link: https://www.econbiz.de/10001473069
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Nonlinear GARCH models for highly persistent volatility
Lanne, Markku; Saikkonen, Pentti - 2002
Persistent link: https://www.econbiz.de/10001668610
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Jumps in equilibrium prices and asymmetric news in foreign exchange markets
El Ouadghiri, Imane; Uctum, Remzi - 2015
Persistent link: https://www.econbiz.de/10011736615
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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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The euro introduction and non-euro currencies
Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006
This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional...
Persistent link: https://www.econbiz.de/10011343243
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999
methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10011302131