Narrow search
Showing 1 - 10 of 178
Cover Image
A New Forecasting Model for USD/CNY Exchange Rate
Zongwu, Cai; Linna, Chen; Ying, Fang - In: Studies in Nonlinear Dynamics & Econometrics 16 (2012) 3, pp. 1-20
This paper models the return series of USD/CNY exchange rate by considering the conditional mean and conditional volatility simultaneously. An index type functional-coefficient model is adopted to model the conditional mean part and a GARCH type model with a policy dummy variable is applied to...
Persistent link: https://www.econbiz.de/10010666897
Cover Image
Foreign Exchange Rates Have Surprising Volatility
BOSSAERTS, P.; HAFNER, C.; HÄRDLE, Wolfgang - Sonderforschungsbereich 373, Quantifikation und … - 1996
Persistent link: https://www.econbiz.de/10010983496
Cover Image
A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series
BOSSAERTS, P.; HÄRDLE, Wolfgang; HAFNER, C. - Sonderforschungsbereich 373, Quantifikation und … - 1995
Persistent link: https://www.econbiz.de/10010983706
Cover Image
Testing for Linear Autoregressive Dynamics under Heteroskedasticity
Hafner, C.; Herwartz, H. - Sonderforschungsbereich 373, Quantifikation und …
Persistent link: https://www.econbiz.de/10005742907
Cover Image
A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series
BOSSAERTS, P.; W. H"ARDLE; HAFNER, C. - Sonderforschungsbereich 373, Quantifikation und …
Persistent link: https://www.econbiz.de/10005794934
Cover Image
Foreign Exchange Rates Have Surprising Volatility
BOSSAERTS, P.; HAFNER, C.; W. H"ARDLE - Sonderforschungsbereich 373, Quantifikation und …
Persistent link: https://www.econbiz.de/10005794978
Cover Image
Flexible Stochastic Volatility Structures for High Frequency Financial Data
Feldmann, D.; Härdle, W.; Hafner, C.; Hoffmann, A. - Sonderforschungsbereich 373, Quantifikation und …
Persistent link: https://www.econbiz.de/10005795128
Cover Image
Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models
Hafner, C. - Sonderforschungsbereich 373, Quantifikation und …
Persistent link: https://www.econbiz.de/10005795145
Cover Image
Fourth moments of multivariate GARCH processes
Hafner, C. - Sonderforschungsbereich 373, Quantifikation und …
Persistent link: https://www.econbiz.de/10005795175
Cover Image
Discrete Time Option Pricing with Flexible Volatility Estimation
Härdle, W.; Hafner, C. - Sonderforschungsbereich 373, Quantifikation und …
Persistent link: https://www.econbiz.de/10005796167