Nonlinear time series analysis with applications to foreign exchange rate volatility :
General Material Designation
[Book]
Other Title Information
with 29 tables
First Statement of Responsibility
Christian M. Hafner.
.PUBLICATION, DISTRIBUTION, ETC
Place of Publication, Distribution, etc.
Heidelberg
Name of Publisher, Distributor, etc.
Physica-Verl.
Date of Publication, Distribution, etc.
1998
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
XIX, 222 Seiten : Diagramme.
SERIES
Series Title
Contributions to economics
CONTENTS NOTE
Text of Note
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.