Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility

Christian Hafner

ISBN 10: 379081041X / ISBN 13: 9783790810417

Editore: Physica, 1997

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nach der Bestellung gedruckt Neuware - Printed after ordering - 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.

Codice articolo 9783790810417

Dati bibliografici

• Titolo: Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility
• Editore: Physica
• Data di pubblicazione: 1997
• Lingua: Inglese
• ISBN 10: 379081041X
• ISBN 13: 9783790810417
• Rilegatura: Taschenbuch
• Condizione: Neu
• Dimensioni: 235 L x 155 A x 14 P (millimetri) 235 millimetri di larghezza per 155 millimetri di altezza per 14 millimetri di profondità
• Peso: 376 grammi

Descrizione articolo

Riassunto

The present book was accepted as a dissertation at the Humboldt Universitat zu Berlin in summer 1996. I am very much obliged to thank my advisor, Professor Wolfgang Hardie, for the continuous, always inspiring support and for opening me the world of non parametric statistics. Without him I probably would have worked on a different, less exciting topic and this book would not exist. Also, I would like to thank my second advisor, Professor Helmut Liitkepohl, for his excellent introduction to time series analysis and for always helpful comments on my work. This work was financially supported by the Deutsche Forschungsgemein­ schaft, in the first stage while I was a member of the Graduiertenkolleg "Ap­ plied Microeconomics", and later when I came to the Sonderforschungsbereich 373. For an interestingly widespread academic surrounding I want to thank the members of the Graduiertenkolleg and the Sonderforschungsbereich, es­ pecially Stefan Sperlich and Axel Werwatz. For the use of XploRe and many other issues I received substantial help from my colleagues Sigbert Klinke, Thomas Kotter, Marlene Miiller and Swetlana Schmelzer. Concerning many central topics of this dissertation, helpful and improving comments were given by Jorg Breitung, Helmut Herwartz, RolfTschernig and Lijian Yang, who also revised most parts of the manuscript. I have much reason to thank them for their help. Of course, all remaining errors are mine. Berlin, July 1997 CHRISTIAN M 0 HAFNER Contents Preface . . . . . IX List of Tables .

Contenuti

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.