The application of multivariate GARCH models to turbulent financial markets:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English German |
| Veröffentlicht: |
Berlin
Verl. Dissertation.de
2002
|
| Ausgabe: | Als Ms. gedr. |
| Schriftenreihe: | Premium
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Zugl.: Basel, Univ., Diss., 2001 |
| Beschreibung: | IX, 125 S. graph. Darst. |
| ISBN: | 3898254429 |
Internformat
MARC
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Datensatz im Suchindex
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|---|---|
| adam_text |
THE
APPLICATION
OF
MULTIVARIATE
GARCH
MODELS
TO
TURBULENT
FINANCIAL
MARKETS
TABLE
OF
CONTENTS
SUMMARY
.
1
INTRODUCTION.
1
CHAPTER
1:
MULTIVARIATE
GARCH
MODELS
FOR
THE
EXCHANGE
RATES
AND
CCC
.
17
CHAPTER
2;
MULTIVARIATE
GARCH
MODELS
WITH
TIME-DEPENDENT
CORRELATIONS
(DVEC)
FOR
THE
EXCHANGE
RATES
.
52
CHAPTER
3:
ASIA
CRISIS:
VOLATILITY
TRANSFERS
IN
STOCK
MARKETS
61
CONCLUSION
104
REFERENCES
108
THE
APPLICATION
OF
MULTIVARIATE
GARCH
MODELS
TO
TURBULENT
FINANCIAL
MARKETS
TABLE
OF
CONTENTS
(DETAILED)
THANKS.
V
DEUTSCHE
ZUSAMMENFASSUNG
DER
THESEN
VI
RESUME
DES
THESES
EN
FRANFAIS
VIII
SUMMARY
.
1
INTRODUCTION:.
1
ON
CONDITIONAL
VARIANCE
MODELS
.
2
MACROECONOMIC
CONSIDERATIONS
4
STUDIES
ON
THE
USD-SF
EXCHANGE
RATE
8
STUDIES
ON
THE
USD-DM
EXCHANGE
RATE
.
11
ELEMENTS
OF
AN
APPROACH
FOR
MODEL
COMPARISON
15
CHAPTER
1:
MULTIVARIATE
GARCH
MODELS
FOR
THE
EXCHANGE
RATES
AND
CCC
.
17
1.
INTRODUCTION:
MULTIVARIATE
MODELS
17
2.
VAR-GARCH
AND
VARMA-GARCH
MODELS
FOR
2
SERIES
18
3.
THE
MULTIVARIATE
GARCH
MODEL
WITH
CONSTANT
CONDITIONAL
CORRELATIONS
21
3.1.
SHORT-RUN
EXCHANGE
RATE
DYNAMICS
21
3.2.
ESTIMATION
FOR
THE
EMS
PERIOD
(1979-1985)
.
26
3.3.
COMPARISON
WITH
THE
PERIOD
BEFORE
THE
EMS
(1973-1979)
29
3.4.
STUDY
WITH
NEW
DATA
(1986-1997)
31
3.4.1.
A
BIVARIATE
CCC
MODEL
FOR
THE
GERMAN
MARK
AND THE
SWISS
FRANC
.
31
3.4.2.
CCC
MODEL
FOR
5
EXCHANGE
RATES
OVER
1986-97
32
3.4.3.
ON
THEORIES
ABOUT
EXCHANGE
RATE
CRISES
40
3.4.4.
THE
ORIGINS
OF
THE
CRISIS
IN
1992-93
(EVENTS
1990-92)
.
43
3.4.5.
EXAMINATION
FOR
THE
TWO
SUBSAMPLES:
1985-1992
AND
1992
TO
1997
46
CHAPTER
2:
MULTIVARIATE
GARCH
MODELS
WITH
TIME-DEPENDENT
CORRELATIONS
(DVEC)
FOR
THE
EXCHANGE
RATES
.
52
1.
A
BIVARIATE
GARCH
MODEL
FOR
THE
GERMAN
MARK
AND
THE
SWISS
FRANC
WITH
TIME-DEPENDENT
CORRELATIONS
.
53
2.
DIAGONAL
VEC
MGARCH
MODEL
FOR
THE
5
EXCHANGE
RATES
OVER
1985-1997
55
3.
DIAGONAL
VEC
MGARCH
MODEL
FROM
NOVEMBER
1992
TO
1997
56
4.
STUDY
OF
3
SUBSAMPLES
BEFORE, DURING
AND
AFTER
THE
CRISIS
PERIOD
IN
1992-1993
.
60
CHAPTER
3:
ASIA
CRISIS:
VOLATILITY
TRANSFERS
IN
THE
STOCK
MARKETS
61
1.
INTRODUCTION
TO
THE
ASIA
CRISIS
AND
TO
HEAT
WAVES
AND
METEOR
SHOWERS
61
2.
VAR
MODELS
64
3.
SOME
CHARACTERISTICS
OF
THE
DATA
USED
65
4.
STATIONARITY
OF
THE
DATA
68
4.1.
DICKEY-FULLER
STATIONARITY
TEST
68
4.2.
STATIONARITY
TESTS
FOR
5
SERIES
OF
RETURNS
69
4.3.
COINTEGRATION
TEST
OVER
MAY
3,
1994
TO
APRIL
17,
1998
70
4.4.
GRANGER
CAUSALITY
71
5.
A
RESTRICTED
VAR(1)-GARCH(1,1)
FOR
SMI
AND
DJ
RETURNS
82
6.
VAR(1)-GARCH(
1,1)
MODEL
USING
THE
BEKK
METHOD
85
6.1.
THE
MODEL
85
6.2.
THE
VOLATILITY
TRANSFERS
86
6.3.
RESULTS
FOR
BIVARIATE
VAR(1)-GARCH(1,1)
BEKK
MODELS
FOR
THE
SMI
AND
ASIA
87
6.4.
RESULTS
FOR
BIVARIATE
VAR(S)-GARCH(P,Q)
BEKK
MODELS
FOR
THE
DOW
JONES
AND
ASIA
.
89
6.5.
RESULTS
FOR
TRIVARIATE
VAR(S)-GARCH(P,Q)
MODELS
WITH
THE
BEKK
METHOD
91
7.
VAR(L)-GARCH(L,L)-IN-MEAN
MODEL
94
7.1.
A
RESTRICTED
VAR(
1
)-GARCH(
1,
1
)-IN-MEAN
MODEL
WITH
BEKK
94
7.2.
ESTIMATION
OF
A
FULL
VAR(
1
)-GARCH(
1,1
)-IN
MEAN
MODEL
WITH
BEKK
95
CONCLUSION
104
REFERENCES
108 |
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| id | DE-604.BV014266821 |
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| indexdate | 2024-08-23T00:35:20Z |
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| language | English German |
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| publishDate | 2002 |
| publishDateSearch | 2002 |
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| spelling | Zahnd, Edy Verfasser aut The application of multivariate GARCH models to turbulent financial markets Edy Zahnd Als Ms. gedr. Berlin Verl. Dissertation.de 2002 IX, 125 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Premium Zugl.: Basel, Univ., Diss., 2001 Ökonometrisches Modell Foreign exchange rates Econometric models Stock exchanges Econometric models Time-series analysis Wechselkursänderung (DE-588)4129405-1 gnd rswk-swf Aktienrendite (DE-588)4126593-2 gnd rswk-swf Multivariate Analyse (DE-588)4040708-1 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf GARCH-Prozess (DE-588)4346436-1 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Wechselkursänderung (DE-588)4129405-1 s Volatilität (DE-588)4268390-7 s Zeitreihenanalyse (DE-588)4067486-1 s Multivariate Analyse (DE-588)4040708-1 s GARCH-Prozess (DE-588)4346436-1 s DE-604 Aktienrendite (DE-588)4126593-2 s DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009785066&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Zahnd, Edy The application of multivariate GARCH models to turbulent financial markets Ökonometrisches Modell Foreign exchange rates Econometric models Stock exchanges Econometric models Time-series analysis Wechselkursänderung (DE-588)4129405-1 gnd Aktienrendite (DE-588)4126593-2 gnd Multivariate Analyse (DE-588)4040708-1 gnd Volatilität (DE-588)4268390-7 gnd GARCH-Prozess (DE-588)4346436-1 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4129405-1 (DE-588)4126593-2 (DE-588)4040708-1 (DE-588)4268390-7 (DE-588)4346436-1 (DE-588)4067486-1 (DE-588)4113937-9 |
| title | The application of multivariate GARCH models to turbulent financial markets |
| title_auth | The application of multivariate GARCH models to turbulent financial markets |
| title_exact_search | The application of multivariate GARCH models to turbulent financial markets |
| title_full | The application of multivariate GARCH models to turbulent financial markets Edy Zahnd |
| title_fullStr | The application of multivariate GARCH models to turbulent financial markets Edy Zahnd |
| title_full_unstemmed | The application of multivariate GARCH models to turbulent financial markets Edy Zahnd |
| title_short | The application of multivariate GARCH models to turbulent financial markets |
| title_sort | the application of multivariate garch models to turbulent financial markets |
| topic | Ökonometrisches Modell Foreign exchange rates Econometric models Stock exchanges Econometric models Time-series analysis Wechselkursänderung (DE-588)4129405-1 gnd Aktienrendite (DE-588)4126593-2 gnd Multivariate Analyse (DE-588)4040708-1 gnd Volatilität (DE-588)4268390-7 gnd GARCH-Prozess (DE-588)4346436-1 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Ökonometrisches Modell Foreign exchange rates Econometric models Stock exchanges Econometric models Time-series analysis Wechselkursänderung Aktienrendite Multivariate Analyse Volatilität GARCH-Prozess Zeitreihenanalyse Hochschulschrift |
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