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Modelling exchange rates volatility with multivariate long-memory ARCH processes
Teyssière, Gilles - 1999 - Rev.
, and the Deutschmark-US dollar. The estimation results for both models show: (i) that the unrestricted model outperforms …
Persistent link: https://www.econbiz.de/10009579181
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Multivariate volatility models
Fengler, Matthias R.; Herwartz, Helmut - 2001
Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on …
Persistent link: https://www.econbiz.de/10009615423
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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
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Nonlinear GARCH models for highly persistent volatility
Lanne, Markku; Saikkonen, Pentti - 2002
In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility …. For such series, conventional GARCH models have often proved unsatisfactory because they tend to exaggerate volatility …
Persistent link: https://www.econbiz.de/10009621424
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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
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Statistical inference for time-inhomogeneous volatility models
Mercurio, Danilo; Spokojnyj, Vladimir G. - 2002
This paper offers a new approach for estimation and forecasting of the volatility of financial time series. No …. -- stochastic volatility model ; adaptive estimation ; local homogeneity … assumption is made about the parametric form of the processes, on the contrary we only suppose that the volatility can be …
Persistent link: https://www.econbiz.de/10009626679
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On the reliability of chow type test for parameter constancy in multivariate dynamic models
Candelon, Bertrand; Lütkepohl, Helmut - 2000
The small sample properties of two types of Chow tests are investigated in the context of multiple time series models. It is found that the tests may have substantially distorted size if the sample size is not large relative to the number of parameters in the model under study. In particular the...
Persistent link: https://www.econbiz.de/10009612028
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A local instrumental estimation method for generalized additive volatility models
Kim, Woocheol; Linton, Oliver - 2000
already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric …
Persistent link: https://www.econbiz.de/10009612037
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Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model
Saikkonen, Pentti - 2001
This paper improves previous sufficient conditions for stationarity obtained in the context of a general nonlinear vector autoregressive model with nonlinear autoregressive conditional heteroskedasticity. The results are proved by using the stability theory developed for Markov chains....
Persistent link: https://www.econbiz.de/10009616775
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Vector autoregressions
Lütkepohl, Helmut - 1999
Persistent link: https://www.econbiz.de/10009579182