, and the Deutschmark-US dollar. The estimation results for both models show: (i) that the unrestricted model outperforms …

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 …

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 …

already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric …

capturing both of the typical characteristics of the short-term interest rate: volatility persistence and the dependence of … volatility on the level of the interest rate. The model also allows for regime switches whose presence has been a third central …

Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on …

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

to a parametric approach, namely the multivariate GARCH model. -- stochastic volatility model ; adaptive estimation … assets, stock market indices, exchange rates etc. A particular problem in investigating multivariate volatility processes … arises from the high dimensionality implied by a simultaneous analysis of variances and covariances. Parametric volatility …

the price of a commodity, currency or similar quantity. Interval estimation and hypothesis testing for H are central to …