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Economic integration and the foreign exchange

Weber, Enzo - 2007

This paper demonstrates effects of economic convergence processes on the foreign exchange behaviour in a monetary modelling approach. Since the exchange rate represents the relative price of two currencies, commonness of stochastic trends between the fundamental determinants of supply and demand...

Persistent link: https://www.econbiz.de/10010263691

Varying coefficient GARCH versus local constant volatility modeling. Comparison of the predictive power

Polzehl, Jörg; Spokoiny, Vladimir - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulation example that the GARCH approach may lead to a serious model misspecification if the assumption of stationarity is violated. In particular, the well known integrated GARCH effect can be...

Persistent link: https://www.econbiz.de/10005854708

Realized copula

Fengler, Matthias R.; Okhrin, Ostap - 2012

We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day high-frequency data. Copula parameters are...

Persistent link: https://www.econbiz.de/10010318779

Estimation and inference for varying-coeffcient models with nonstationary regressors using penalized splines

Chen, Haiqiang; Fang, Ying; Li, Yingxing - 2013

This paper considers estimation and inference for varying-coefficient models with nonstationary regressors. We propose a nonparametric estimation method using penalized splines, which achieves the same optimal convergence rate as kernel-based methods, but enjoys computation advantages. Utilizing...

Persistent link: https://www.econbiz.de/10010319206

Varying coefficient GARCH versus local constant volatility modeling: Comparison of the predictive power

Polzehl, Jörg; Spokoiny, Vladimir - 2006

locally constant model from Polzehl and Spokoiny (2002) by means of simulated and real data sets using different forecasting … GARCH(1,1) model also demonstrates a relatively good forecasting performance as far as the short term forecasting horizon is … considered. However, its application to long term forecasting seems questionable because of possible misspecification of the …

Persistent link: https://www.econbiz.de/10010265657

Overreaction and multiple tail dependence at the high-frequency level: The copula rose

Ng, Wing Lon - 2006

This paper applies a non- and a semiparametric copula-based approach to analyze the first-order autocorrelation of returns in high frequency financial time series. Using the EUREX D3047 tick data from the German stock index, it can be shown that the temporal dependence structure of price...

Persistent link: https://www.econbiz.de/10010265662

A blocking and regularization approach to high dimensional realized covariance estimation

Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009

liquidity settings, noise-to-signal ratios, and dimensions. An empirical application of forecasting daily covariances of the S …

Persistent link: https://www.econbiz.de/10010270808

Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory

Schaumburg, Julia - 2010

extreme value theory. The out-of-sample forecasting performance of our methods turns out to be clearly superior to different …

Persistent link: https://www.econbiz.de/10010270817

A generalized ARFIMA process with Markov-switching fractional differencing parameter

Tsay, Wen-Jen; Härdle, Wolfgang Karl - 2007

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

Persistent link: https://www.econbiz.de/10010274125

Adaptive pointwise estimation in time-inhomogeneous time-series models

Čížek, Pavel; Härdle, Wolfgang Karl; Spokoiny, Vladimir - 2008

This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the …

Persistent link: https://www.econbiz.de/10010274136