Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility

ISBN-13: 9783790810417 / Angielski / Miękka / 1997 / 222 str.

Christian Hafner

Opis

The present book was accepted as a dissertation at the Humboldt Universitat zu Berlin in summer 1996. I am very much obliged to thank my advisor, Professor Wolfgang Hardie, for the continuous, always inspiring support and for opening me the world of non parametric statistics. Without him I probably would have worked on a different, less exciting topic and this book would not exist. Also, I would like to thank my second advisor, Professor Helmut Liitkepohl, for his excellent introduction to time series analysis and for always helpful comments on my work. This work was financially supported by the Deutsche Forschungsgemein- schaft, in the first stage while I was a member of the Graduiertenkolleg "Ap- plied Microeconomics", and later when I came to the Sonderforschungsbereich 373. For an interestingly widespread academic surrounding I want to thank the members of the Graduiertenkolleg and the Sonderforschungsbereich, es- pecially Stefan Sperlich and Axel Werwatz. For the use of XploRe and many other issues I received substantial help from my colleagues Sigbert Klinke, Thomas Kotter, Marlene Miiller and Swetlana Schmelzer. Concerning many central topics of this dissertation, helpful and improving comments were given by Jorg Breitung, Helmut Herwartz, RolfTschernig and Lijian Yang, who also revised most parts of the manuscript. I have much reason to thank them for their help. Of course, all remaining errors are mine. Berlin, July 1997 CHRISTIAN M 0 HAFNER Contents Preface ...IX List of Tables .

Spis treści

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.