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The convergence of optimization based estimators : theory and application to a GARCH-model
Winker, Peter; Maringer, Dietmar - Staatswissenschaftliche Fakultät, … - 2005
application to a GARCH-model demonstrates the approach in practice by estimating actual rates of convergence through a large scale …
Persistent link: https://www.econbiz.de/10009211182
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Long memory with Markov-Switching GARCH
Krämer, Walter - Institut für Wirtschafts- und Sozialstatistik, … - 2006
The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su … observation that estimated GARCH-parameters often sum to almost one. …
Persistent link: https://www.econbiz.de/10009216851
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Pricing of options under different volatility models
Herzberg, Markus; Sibbertsen, Philipp - Institut für Wirtschafts- und Sozialstatistik, … - 2004
In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which...
Persistent link: https://www.econbiz.de/10009219819
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Semiparametric multivariate volatility models
Rombouts, Jeroen V. K.; Hafner, Christian M. - Center for Applied Statistics and Econometrics (CASE), … - 2004
Estimation of multivariate volatility models is usually carried out by quasi maximum likelihood (QMLE), for which consistency and asymptotic normality have been proven under quite general conditions. However, there may be a substantial efficiency loss of QMLE if the true innovation distribution...
Persistent link: https://www.econbiz.de/10009228856
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Modelling the Volatility of the Spanish Wholesale Electricity Spot Market. Asymmetric GARCH Models vs. Threshold ARSV model/Modelización de la volatilidad en el mercado eléctrico e...
MONTERO, JOSÉ M.; GARCÍA-CENTENO, MARIA C.; … - In: Estudios de Economía Aplicada 29 (2011) Agosto, pp. 597-616
of traditional GARCH models and a T-ARSV model. The results clearly favour the proposed T-ARSV specification, which … batería de modelos GARCH tradicionales en la literatura, a la que se enfrenta el modelo de volatilidad T-ARSV. Los resultados …
Persistent link: https://www.econbiz.de/10009293431
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Modelación de los precios en el mercado eléctrico español
Ciarreta, Aitor; Lagullón, Mónica; Zarraga, Ainhoa - In: REVISTA CUADERNOS DE ECONOMÍA (2011)
, volatilidad condicional de los residuos (GARCH) y que no incorpora saltos. Además, se observa que el cambio regulatorio del año …
Persistent link: https://www.econbiz.de/10009294151
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Volatile ARMA Modelling of GARCH Squares
Lawrance, Anthony J. - In: Central European Journal of Economic Modelling and … 2 (2010) 3, pp. 195-203
This paper points out that the ARMA models followed by GARCH squares are volatile and gives explicit and general forms … the corresponding GARCH volatility function. The prediction of GARCH squares is facilitated by the ARMA structure and …
Persistent link: https://www.econbiz.de/10009294824
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AN INVESTIGATION OF REAL EXCHANGE RATE VOLATILITY ON TURKISH TEXTILE AND APPAREL EXPORT
Hatirli, Selim Adem; Onder, Kübra - In: Anadolu University Journal of Social Sciences 10 (2010) 2, pp. 41-54
-2008. Exchange rate volatility was also considered in the model using GARCH approach. In order to determine appropriate Granger …
Persistent link: https://www.econbiz.de/10008595833
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The Effects of Currency Futures Trading on Turkish Currency Market
Oduncu, Arif - In: Journal of BRSA Banking and Financial Markets 5 (2011) 1, pp. 97-109
In this article, the impact of the introduction of currency futures trading on the volatility of the underlying currency market for Turkey is studied. Analyzing the data, following results are obtained. First, the results suggest that the introduction of futures trading has decreased the...
Persistent link: https://www.econbiz.de/10009275556
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Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
Arouri, Mohamed El Hedi; Lahiani, Amine; Duc, Khuong Nguyen - Development and Policies Research Center (Depocen) - 2010
conditional volatility of oil spot and futures prices using three GARCH-type models, i.e., linear GARCH, GARCH with structural … GARCH-based conditional volatility processes for energy prices. Second, long memory is effectively present in all the series …
Persistent link: https://www.econbiz.de/10008738797