Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications (Q4781081): Difference between revisions

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scientific article; zbMATH DE number 1833846

Language	Label	Description	Also known as
English	Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications	scientific article; zbMATH DE number 1833846

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instance of

scholarly article

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title

Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications (English)

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zbMATH Open document ID

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Applied Stochastic Models in Business and Industry

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publication date

21 November 2002

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Mathematics Subject Classification ID

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foreign exchange market volatilities

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change-point estimation

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IGARCH

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1002/asmb.451

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OpenAlex ID

W2076096205

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cites work

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Generalized autoregressive conditional heteroscedasticity

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Q5445942

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Autoregressive conditional heteroskedasticity and changes in regime

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Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

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Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

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Detecting parameter shift in garch models

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A Test for Normality of Observations and Regression Residuals

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On a measure of lack of fit in time series models

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A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

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THE GARCH OPTION PRICING MODEL

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The Pricing of Options and Corporate Liabilities

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The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets

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Sitelinks

Mathematics(1 entry)

mardi Publication:4781081

@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Q5445942
@@ Property / cites work: Q5445942 / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive conditional heteroskedasticity and changes in regime
+Normal rank
@@ Property / cites work @@
+Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
+Normal rank
@@ Property / cites work @@
+Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
+Normal rank
@@ Property / cites work @@
+Detecting parameter shift in garch models
@@ Property / cites work: Detecting parameter shift in garch models / rank @@
+Normal rank
@@ Property / cites work @@
+A Test for Normality of Observations and Regression Residuals
+Normal rank
@@ Property / cites work @@
+On a measure of lack of fit in time series models
@@ Property / cites work: On a measure of lack of fit in time series models / rank @@
+Normal rank
@@ Property / cites work @@
+A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
+Normal rank
@@ Property / cites work @@
+THE GARCH OPTION PRICING MODEL
@@ Property / cites work: THE GARCH OPTION PRICING MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
+Normal rank