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Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/61735
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Teyssière, Gilles | | en_US |
| dc.date.accessioned | | 2012-08-30T15:04:31Z | | - |
| dc.date.available | | 2012-08-30T15:04:31Z | | - |
| dc.date.issued | | 1999 | | en_US |
| dc.identifier.pi | | urn:nbn:de:kobv:11-10056020 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/61735 | | - |
| dc.description.abstract | | We 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.iso | | eng | | en_US |
| dc.publisher | | Humboldt-Universität Berlin | | en_US |
| dc.relation.ispartofseries | | Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1999,5 | | en_US |
| dc.subject.jel | | C32 | | en_US |
| dc.subject.jel | | G00 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | heteroskedasticity | | en_US |
| dc.subject.keyword | | Long-memory processes | | en_US |
| dc.subject.keyword | | multivariate long-memory ARCH models | | en_US |
| dc.subject.keyword | | multivariate FIGARCH models | | en_US |
| dc.title | | Modelling exchange rates volatility with multivariate long-memory ARCH processes | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 722162154 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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