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On the (nonlinear) relationship between exchange rate uncertainty and trade : an investigation of US trade figures in the Group of Seven

Herwartz, Helmut (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001918978

Fitting the smile revisited : a least squares kernel estimator for the implied volatility surface

Fengler, Matthias R. (contributor); Wang, Qihua (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919426

A note on stochastic volatility, GARCH models, and hyperbolic distributions

Jaschke, Stefan R. - 1997

We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions …

Persistent link: https://www.econbiz.de/10009577459

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …

Persistent link: https://www.econbiz.de/10009578026

Volatility estimates of the short term interest rate with an application to German data

Dankenbring, Henning - 1998

find that the volatility depends on either the interest rate level or information shocks but not on both. Finally, we … propose to describe the short term interest rate's dynamics by means of an AR(1) model with stochastic volatility. -- Term … Structure Models ; Stochastic Volatility ; ARCH …

Persistent link: https://www.econbiz.de/10009578570

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

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - 1999

prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …

Persistent link: https://www.econbiz.de/10009580460

Money growth volatility and the demand for money in Germany : Friedman's volatility hypothesis revisited

Brüggemann, Imke; Nautz, Dieter - 1997

volatility of short-term money growth. The present paper investigates the impact of German money growth volatility on income … velocity and money demand in view of Friedman's money growth volatility hypothesis. Granger-causality tests provide some … evidence for a velocity-volatility linkage. However the estimation of volatility-augmented money demand functions reveals that …

Persistent link: https://www.econbiz.de/10009632601

Adaptive estimation for a time inhomogeneous stochastic-volatility model

Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000

is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an …

Persistent link: https://www.econbiz.de/10009582392

Common factors governing VDAX movements and the maximum loss

Härdle, Wolfgang; Schmidt, Peter - 2000

tool for options portfolios using the "Maximum Loss" methodology based on Principal Components. -- Implied Volatility ; DAX …

Persistent link: https://www.econbiz.de/10009612026