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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

Forecasting sectoral trade growth under flexible exchange rates

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

Persistent link: https://www.econbiz.de/10001918993

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 …-memory ARCH processes. We apply these two models to two daily returns on foreign exchanges (FX) rates series, the Pound-US dollar … Monetary System inception in March 1979. -- heteroskedasticity ; Long-memory processes ; multivariate long-memory ARCH models …

Persistent link: https://www.econbiz.de/10009579181

Estimation in an additive model when the components are linked parametrically

Carroll, Raymond J.; Härdle, Wolfgang; Mammen, Enno - 1999

Motivated by a nonparametric GARCH model we consider nonparametric additive regression and autoregression models in the special case that the additive components are linked parametrically. We show that the parameter can be estimated with parametric rate and give the normal limit. Our procedure...

Persistent link: https://www.econbiz.de/10009579184

Testing for linear autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - 1998

One puzzling behavior of asset returns for various frequencies is the often observed positive autocorrelation at lag 1. To some extent this can be explained by standard asset pricing models when assuming time varying risk premia. However, one often finds better results when directly fitting an...

Persistent link: https://www.econbiz.de/10009579187

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

Hafner, Christian M.; Herwartz, Helmut - 1999

Daily returns of financial assets are frequently found to exhibit positive autocorrelation at lag 1. When specifying a linear AR(l) conditional mean, one may ask how this predictability affects option prices. We investigate the dependence of option prices on autoregressive dynamics under...

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

Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity

Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; … - 1999

estimators. The finite sample performance of the estimators is examined by means of a Monte Carlo study. -- long memory ; ARCH …

Persistent link: https://www.econbiz.de/10009581091

Empirical process of the squared residuals of an ARCH sequence

Horváth, Lajos; Kokoszka, Piotr; Teyssière, Gilles - 1999

We show that the empirical process of the squared residuals of an ARCH(p) sequence converges in distribution 1,0 a … <; t>1} a Brownian bridge and e a normal random variable. -- ARCH model ; empirical process ; squared residuals …

Persistent link: https://www.econbiz.de/10009582420

A local instrumental estimation method for generalized additive volatility models

Kim, Woocheol; Linton, Oliver - 2000

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models …

Persistent link: https://www.econbiz.de/10009612037

Fourth moments of multivariate GARCH processes

Hafner, Christian M. - 2000

This paper derives conditions for the existence of fourth moments of multivariate GARCH processes in the general vector specification and gives explicit results for the fourth moments and autocovariances of the squares and cross-products. Results are provided for the kurtosis and co-kurtosis...

Persistent link: https://www.econbiz.de/10009612043