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https://hdl.handle.net/10419/61735
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Teyssière, Gilles | en |
dc.date.accessioned | 2012-08-30T15:04:31Z | - |
dc.date.available | 2012-08-30T15:04:31Z | - |
dc.date.issued | 1999 | - |
dc.identifier.pi | urn:nbn:de:kobv:11-10056020 | en |
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 |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlin | en |
dc.relation.ispartofseries | |aSFB 373 Discussion Paper |x1999,5 | en |
dc.subject.jel | C32 | en |
dc.subject.jel | G00 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | heteroskedasticity | en |
dc.subject.keyword | Long-memory processes | en |
dc.subject.keyword | multivariate long-memory ARCH models | en |
dc.subject.keyword | multivariate FIGARCH models | en |
dc.title | Modelling exchange rates volatility with multivariate long-memory ARCH processes | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 722162154 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:sfb373:19995 | en |
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