Christian Hafner

Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility

• Broschiertes Buch

Produktbeschreibung

The book deals with the econometric analysis of high frequency financial time series. It emphasizes a new nonparametric approach to volatility models and provides theoretical and empirical comparisons with conventional ARCH models, applied to foreign exchange rates. Nonparametric models are discussed that cope with asymmetry and long memory of volatility as well as heterogeneity of higher conditional moments.

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Produktdetails

• Contributions to Economics
• Verlag: Physica / Physica-Verlag / Physica-Verlag HD
• Artikelnr. des Verlages: 978-3-7908-1041-7
• 1998
• Seitenzahl: 244
• Erscheinungstermin: 15. Oktober 1997
• Englisch
• Abmessung: 235mm x 155mm x 14mm
• Gewicht: 372g
• ISBN-13: 9783790810417
• ISBN-10: 379081041X
• Artikelnr.: 40761330

Inhaltsangabe

Introduction.- Modelling Volatility of Financial Time Series: Risk and Volatility; Stock Returns; Interest Rates; Foreign Exchange Rates; Conclusions.- Nonlinear Time Series Analysis: Introduction; Deterministic Systems and Chaos; Parametric Stochastic Models; Nonparametric and Semiparametric Models; Testing Linearity; Nonlinear Prediction; Directionality and Reversibility; Conclusions.- ARCH Models and Extensions: Introduction; Standard ARCH and GARCH; Specification of the Conditional Distribution; Persistence of Volatitlity; Asymmetry of Volatility; Risk and Return; Asymmetry and Persistence of the FX Rates; News Impact Functions; Temporal (Dis-)Aggregation; Market Components and Heterogeneous ARCH; Directionality of ARCH Processes; Conclusions.- Nonparametric and Semiparametric Models: Introduction; The CHARN Model; Higher Order Conditional Moments and Stochastic Volatility; Nonparametric Generalized ARCH Models; Conclusions.- Conclusions and Outlook.