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dc.contributor.authorTeyssière, Gillesen_US
dc.date.accessioned2012-08-30T15:04:31Z-
dc.date.available2012-08-30T15:04:31Z-
dc.date.issued1999en_US
dc.identifier.piurn:nbn:de:kobv:11-10056020en_US
dc.identifier.urihttp://hdl.handle.net/10419/61735-
dc.description.abstractWe consider two multivariate long-memory ARCH models, which extend the univariate long-memory ARCH models, we first consider a long-memory extension of the restricted constant conditional correlations (CCC) model introduced by Bollerslev (1990), and we propose a new unrestricted conditional covariance matrix model which models the conditional covariances as long-memory ARCH processes. We apply these two models to two daily returns on foreign exchanges (FX) rates series, the Pound-US dollar, and the Deutschmark-US dollar. The estimation results for both models show: (i) that the unrestricted model outperforms the restricted CCC model, and (ii) that all the elements of the conditional covariance matrix share the same degree of long-memory for the period April 1979 - January 1997. However, this result does not hold for the floating periods March 1973 - January 1997 and September 1971 - January 1997. This break in the long-term structure may be caused by the European Monetary System inception in March 1979.en_US
dc.language.isoengen_US
dc.publisherHumboldt-Universität Berlinen_US
dc.relation.ispartofseriesDiscussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1999,5en_US
dc.subject.jelC32en_US
dc.subject.jelG00en_US
dc.subject.ddc330en_US
dc.subject.keywordheteroskedasticityen_US
dc.subject.keywordLong-memory processesen_US
dc.subject.keywordmultivariate long-memory ARCH modelsen_US
dc.subject.keywordmultivariate FIGARCH modelsen_US
dc.titleModelling exchange rates volatility with multivariate long-memory ARCH processesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn722162154en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:sfb373:19995-
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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