Results 1 to 10 of about 244 (54)
Modelling stock returns with AR-GARCH processes [PDF]
, 2004 Financial returns are often modelled as autoregressive time series with random disturbances having conditional heteroscedastic variances, especially with GARCH type processes.
Ferenstein, Elzbieta, Gasowski, Miroslaw
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The tail of the stationary distribution of a random coefficient AR(q) model
, 2004 We investigate a stationary random coefficient autoregressive process. Using renewal type arguments tailor-made for such processes, we show that the stationary distribution has a power-law tail.
Kluppelberg, Claudia +1 more
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Asymptotic equivalence for inference on the volatility from noisy observations
, 2011 We consider discrete-time observations of a continuous martingale under measurement error. This serves as a fundamental model for high-frequency data in finance, where an efficient price process is observed under microstructure noise.
Reiß, Markus
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Continuous invertibility and stable QML estimation of the EGARCH(1,1) model [PDF]
, 2012 We introduce the notion of continuous invertibility on a compact set for volatility models driven by a Stochastic Recurrence Equation (SRE). We prove the strong consistency of the Quasi Maximum Likelihood Estimator (QMLE) when the optimization procedure ...
Wintenberger, Olivier
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The role of exchange rate dynamics in Bulgaria and Romania in the process of economic transition [PDF]
, 2014 Our contribution focuses on the role of the exchange rate changes in Bulgaria and Romania during the transition process toward a market economy. We are interested in the degree of exchange rate pass-through to the domestic inflation in these countries ...
Němec Daniel, Žídek Libor
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Near-integrated GARCH sequences
, 2005 Motivated by regularities observed in time series of returns on speculative assets, we develop an asymptotic theory of GARCH(1,1) processes {y_k} defined by the equations y_k=\sigma_k\epsilon_k, \sigma_k^2=\omega +\alpha y_{k-1}^2+\beta \sigma_{k-1}^2 ...
Berkes, Istvan +2 more
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ANOVA for diffusions and It\^{o} processes
, 2006 It\^{o} processes are the most common form of continuous semimartingales, and include diffusion processes. This paper is concerned with the nonparametric regression relationship between two such It\^{o} processes.
Mykland, Per Aslak, Zhang, Lan
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The impact of exchange rate changes on inflation in the V4 countries in the process of economic transition [PDF]
, 2013 Our contribution focuses on the role of the exchange rate changes in the V4 countries during the transition process towards a market economy. Regarding the variety of exchange rate regimes implemented in the V4 countries at the start of the economic ...
Němec Daniel, Žídek Libor
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Break detection in the covariance structure of multivariate time series models
, 2008 In this paper, we introduce an asymptotic test procedure to assess the stability of volatilities and cross-volatilites of linear and nonlinear multivariate time series models.
Aue, Alexander +3 more
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, 2006 This paper studies the quasi-maximum-likelihood estimator (QMLE) in a general conditionally heteroscedastic time series model of multiplicative form $X_t=\sigma_tZ_t$, where the unobservable volatility $\sigma_t$ is a parametric function of $(X_{t-1},...,
Mikosch, Thomas, Straumann, Daniel
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