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Nominal Exchange Rate Dynamics in the European Monetary System
Spencer, Michael G. - 1990
The EMS is modeled as imposing dual reflecting barriers on the exchange rate process. This policy leads to a state-dependent conditional variance for exchange rate changes. This variance is always less than that under a pure free float regime. A method of Simulated Moments procedure is employed...
Persistent link: https://www.econbiz.de/10011940443
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Asymptotic properties of GARCH-X processes
Han, Heejoon - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 188-221
Persistent link: https://www.econbiz.de/10010519656
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Is there a relationship between the time scaling property of asset returns and the outliers? : evidence from international financial markets
González Sánchez, Mariano - In: Finance research letters 38 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012490299
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Time series properties of ARCH processes with persistent covariates
Han, Heejoon; Park, Joon Y. - Volkswirtschaftliche Fakultät, … - 2006
We consider ARCH processes with persistent covariates and provide asymptotic theories that explain how such covariates … affect various characteristics of volatility. Specifically, we propose and study a volatility model, named ARCH-NNH model …, that is an ARCH(1) process with a nonlinear function of a persistent, integrated or nearly integrated, explanatory variable …
Persistent link: https://www.econbiz.de/10005619670
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A Graphical Analyzing the Honeymoon Effect of Exchage Rate Target Zones with Uncertain Policy in an Open Economy?An Example of Disturbances in Aggregate Supply
Liaw, Peir-Shyan; Shen, Yu-Shin - In: Journal of Economics and Management 6 (2010) 1, pp. 33-77
This paper extends the theoretical framework of Frenkel and Rodriguez (1982); Sutherland (1995) model to policy uncertainty case. In a stoachastic open macroeconomic model is characterized by purchasing power parity postulate doesn't hold and imperfect capital mobility, we use the Lai and...
Persistent link: https://www.econbiz.de/10008555935
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Empirical performance of the Czech and Hungarian index options under jump
Lee, Gabriel S.; Boss, Michael; Klisz, Chris - 2001
This paper analyses Czech and Hungarian index options that are traded on the Austrian Futures and Options Exchange. We find that the Poisson jump-diffusion and not the GARCH (1,1) process lends statistical support for the data description. We estimate that approximately four-fifth of 4 percent...
Persistent link: https://www.econbiz.de/10010292775
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The L-distribution and skew generalizations
Fischer, Matthias J. - 2006
Leptokurtic or platykurtic distributions can, for example, be generated by applying certain non-linear transformations to a Gaussian random variable. Within this work we focus on the class of so-called power transformations which are determined by their generator function. Examples are the...
Persistent link: https://www.econbiz.de/10010299776
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Kurtosis transformation and kurtosis ordering
Klein, Ingo; Fischer, Matthias J. - 2003
can be easily verified and the power can be interpreted as parameter of leptokurtosis. …
Persistent link: https://www.econbiz.de/10010299807
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The L-distribution and skew generalizations
Fischer, Matthias J. - 2004
Leptokurtic or platykurtic distributions can, for example, be generated by applying certain non-linear transformations to a Gaussian random variable. Within this work we focus on the class of so-called power transformations which are determined by their generator function. Examples are the...
Persistent link: https://www.econbiz.de/10010299826
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A skew and leptokurtic distribution with polynomial tails and characterizing functions in closed form
Fischer, Matthias - 2012
We introduce a new skewed and leptokurtic distribution derived from the hyperbolic secant distribution and Johnson's S transformation. Properties of this new distribution are given. Finally, we empirically demonstrate in the context of financial return data that its exibility is comparable to...
Persistent link: https://www.econbiz.de/10010309310