Showing 1 - 10 of 199
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/10005678042
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/10005489950
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...
Persistent link: https://www.econbiz.de/10008727350
forecasting criteria. Our results indicate that the simple locally constant model outperforms the other models in almost all cases …. The 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 …
Persistent link: https://www.econbiz.de/10005677893
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/10005677996
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The recent availability of high-frequency data allows for refined methods in this field. In particular, more precise measures for the daily or lower frequency volatility can be...
Persistent link: https://www.econbiz.de/10005678039
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/10005678044
liquidity settings, noise-to-signal ratios, and dimensions. An empirical application of forecasting daily covariances of the S …
Persistent link: https://www.econbiz.de/10008477173
Financial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur more frequently. For decision makers and government regulators, it is therefore important to obtain accurate information on the interdependency of risk factors. Given a...
Persistent link: https://www.econbiz.de/10009651900
We introduce the notion of realized copula. Based on assumptions of the marginal distri- butions of daily stock returns and a copula family, realized copula is dened as the copula structure materialized in realized covariance estimated from within-day high-frequency data. Copula parameters are...
Persistent link: https://www.econbiz.de/10010549032