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Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility
Bos, Charles S. - 2008
stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on …
Persistent link: https://www.econbiz.de/10010326060
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Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010
particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …
Persistent link: https://www.econbiz.de/10010271381
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Forecasting exchange rates with a large Bayesian VAR
Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008
Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate …
Persistent link: https://www.econbiz.de/10010280768
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 2001
methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …
Persistent link: https://www.econbiz.de/10010324963
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 1999
methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10010324426
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Oil prices, exchange rates and asset prices
Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - 2014
strong and rising negative correlation between oil prices and the US dollar since the early 2000s, with risk shocks and the … financialisation process of oil prices explaining most of the strengthening of this correlation. …
Persistent link: https://www.econbiz.de/10011605734
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An oversimplified inquiry into the sources of exchange rate variability
Kempa, Bernd - 2003
Exchange rates as well as relative price level and output movements are decomposed into components associated with nominal shocks as well as shocks to aggregate supply and aggregate demand. In contrast to previous analyses of such decompositions based on statistical vector autoregression (VAR)...
Persistent link: https://www.econbiz.de/10010302260
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Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Asai, Manabu; McAleer, Michael - 2013
The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which …
Persistent link: https://www.econbiz.de/10010326219
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Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data
Wilfling, Bernd; Trede, Mark - 2004
-entrance in January 2001 this paper develops a rigorous estimation procedure. The estimates provide statistical evidence of … increased central bank intervention activities in the run-up to the Greek EMU entrance. Thus the modelling and estimation …
Persistent link: https://www.econbiz.de/10010295399
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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus; Ou, Yangguoyi - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and …
Persistent link: https://www.econbiz.de/10010263750