Empirical modeling of exchange rate dynamics:
Gespeichert in:
1. Verfasser: | |
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Format: | Buch |
Sprache: | English |
Veröffentlicht: |
Berlin u.a.
Springer
1988
|
Schriftenreihe: | Lecture notes in economics and mathematical systems
303 |
Schlagworte: | |
Online-Zugang: | Inhaltsverzeichnis |
Beschreibung: | 143 S. graph. Darst. |
ISBN: | 3540189661 0387189661 |
Internformat
MARC
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Datensatz im Suchindex
_version_ | 1808588588782190592 |
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adam_text |
TABLE (V COHEIRS
CHAPTER 1
INTRODUCTION.
CHAPTER 2
CONDITIONAL HETEROSKEDASTICITY IN ECONOMIC TIME SERLE8.
2.1) INTRODUCTION AND SUMMARY.
2.2) AUTOREGREASIVE CONDITIONALLY HETEROSKEDASTIC PROCESSES.
2.2.1) CONDITIONAL MOMENT STRUCTURE.
2.2.2) UNCONDITIONAL MOMENT STRUCTURE.
2.3) TEMPORAL AGGREGATION OF ARCH PROCESSES.
2.4) ESTIMATION AND HYPOTHESIS TESTING.
2.5) THE ASYMPTOTIC DISTRIBUTIONS OF SOME COMMON SERIAL
CORRELATION TEST STATISTICS IN THE PREEENCE OF ARCH.
2.5.1) BACKGROUND.
2.5.2) CORRECTING THE BARTLETJJ STANDARD ERROR BANDS.
2.5.3) ON THE EXISTENCE OF EX .
2.5.4) THE BOX-PIERCE AND LJUNG-BOX STATISTICS.
2.5.5) CONCLUSIONS.
2.6) CONCLUDING REMARKS.
CHAPTER 3
WEEKLY UNIVARIATE NOMINAL EXCHANGE RATE FLUCTUATIONS.
3.1) INTRODUCTION.
3.2) MOVING SAMPLE MOMENTS AS VOLATILITY MEASURES.
3.3) THE DATA.
3.4) MODEL FORMULATION.
3.5) EMPIRICAL RESULTS.
3.6) CONCLUSIONS.
APPENDIX TO CHAPTER 3
TESTING FOR UNIT ROOTS.
A3.1) THE FIRST-ORDER CASE.
A3.2) HIGHER-ORDER PROCESSES.
A3.3) GENERAL ARMA REPRESENTATIONS.
CHAPTER 4
MONTHLY UNIVARIATE NOMINAL EXCHANGE RATE FLUCTUATIONS.
4.1) INTRODUCTION.
4.2) EMPIRICAL ANALYSIS.
4.3) COMPARISON WITH SOME WELL-KNOWN RESULTS FROM FINANCE-
4.4) CONCLUDING REMARKS.
CHAPTER 5
REAL EXCHANGE RATE MOVEMENTS.
5.1) INTRODUCTION.
5.2) FORMS OF PURCHASING POWER PARITY.
5.3) THE RELATIONSHIP BETWEEN THE THREE KEY PARITY CONDITIONS
5.3. A) BACKGROUND.
5.3. B) THE PARITY CONDITIONS.
5.3. C) CONCLUSIONS REGARDING THE PARITY CONDITIONS.
5.4) ON THE STOCHASTIC BEHAVIOR OF DEVIATIONS FROM PPP.
5.5) EMPIRICAL ANALYSIS.
5.6) CONCLUSIONS.
REFERENCES.
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BIBLIOGRAFISCHE INFORMATIONEN
HTTP://D-NB.INFO/880255943 |
any_adam_object | 1 |
author | Diebold, Francis X. 1959- |
author_GND | (DE-588)123909104 |
author_facet | Diebold, Francis X. 1959- |
author_role | aut |
author_sort | Diebold, Francis X. 1959- |
author_variant | f x d fx fxd |
building | Verbundindex |
bvnumber | BV000792402 |
callnumber-first | H - Social Science |
callnumber-label | HG3821 |
callnumber-raw | HG3821.D54 1988 |
callnumber-search | HG3821.D54 1988 |
callnumber-sort | HG 43821 D54 41988 |
callnumber-subject | HG - Finance |
classification_rvk | QH 237 QM 331 SI 853 |
classification_tum | WIR 223f |
ctrlnum | (OCoLC)246648704 (DE-599)BVBBV000792402 |
dewey-full | 332.4/5/0724 332.4/5/072419 |
dewey-hundreds | 300 - Social sciences |
dewey-ones | 332 - Financial economics |
dewey-raw | 332.4/5/0724 332.4/5/0724 19 |
dewey-search | 332.4/5/0724 332.4/5/0724 19 |
dewey-sort | 3332.4 15 3724 |
dewey-tens | 330 - Economics |
discipline | Mathematik Wirtschaftswissenschaften |
format | Book |
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illustrated | Illustrated |
indexdate | 2024-08-28T00:21:25Z |
institution | BVB |
isbn | 3540189661 0387189661 |
language | English |
oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-000496367 |
oclc_num | 246648704 |
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physical | 143 S. graph. Darst. |
publishDate | 1988 |
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series | Lecture notes in economics and mathematical systems |
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spelling | Diebold, Francis X. 1959- Verfasser (DE-588)123909104 aut Empirical modeling of exchange rate dynamics Francis X. Diebold Berlin u.a. Springer 1988 143 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Lecture notes in economics and mathematical systems 303 Change - Modèles mathématiques Change - modèles mathématiques ram Modellen gtt Valutahandel gtt Wisselkoersen gtt Mathematisches Modell Foreign exchange -- Mathematical models Modell (DE-588)4039798-1 gnd rswk-swf Wechselkursänderung (DE-588)4129405-1 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Wechselkursänderung (DE-588)4129405-1 s Modell (DE-588)4039798-1 s DE-604 Mathematisches Modell (DE-588)4114528-8 s Zeitreihenanalyse (DE-588)4067486-1 s 1\p DE-604 Stochastischer Prozess (DE-588)4057630-9 s 2\p DE-604 Lecture notes in economics and mathematical systems 303 (DE-604)BV000000036 303 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=000496367&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
spellingShingle | Diebold, Francis X. 1959- Empirical modeling of exchange rate dynamics Lecture notes in economics and mathematical systems Change - Modèles mathématiques Change - modèles mathématiques ram Modellen gtt Valutahandel gtt Wisselkoersen gtt Mathematisches Modell Foreign exchange -- Mathematical models Modell (DE-588)4039798-1 gnd Wechselkursänderung (DE-588)4129405-1 gnd Mathematisches Modell (DE-588)4114528-8 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
subject_GND | (DE-588)4039798-1 (DE-588)4129405-1 (DE-588)4114528-8 (DE-588)4057630-9 (DE-588)4067486-1 |
title | Empirical modeling of exchange rate dynamics |
title_auth | Empirical modeling of exchange rate dynamics |
title_exact_search | Empirical modeling of exchange rate dynamics |
title_full | Empirical modeling of exchange rate dynamics Francis X. Diebold |
title_fullStr | Empirical modeling of exchange rate dynamics Francis X. Diebold |
title_full_unstemmed | Empirical modeling of exchange rate dynamics Francis X. Diebold |
title_short | Empirical modeling of exchange rate dynamics |
title_sort | empirical modeling of exchange rate dynamics |
topic | Change - Modèles mathématiques Change - modèles mathématiques ram Modellen gtt Valutahandel gtt Wisselkoersen gtt Mathematisches Modell Foreign exchange -- Mathematical models Modell (DE-588)4039798-1 gnd Wechselkursänderung (DE-588)4129405-1 gnd Mathematisches Modell (DE-588)4114528-8 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
topic_facet | Change - Modèles mathématiques Change - modèles mathématiques Modellen Valutahandel Wisselkoersen Mathematisches Modell Foreign exchange -- Mathematical models Modell Wechselkursänderung Stochastischer Prozess Zeitreihenanalyse |
url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=000496367&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
volume_link | (DE-604)BV000000036 |
work_keys_str_mv | AT dieboldfrancisx empiricalmodelingofexchangeratedynamics |