Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates PDF full book. Access full book title Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates by Ms.Jenny N. Lye. Download full books in PDF and EPUB format.
Author: Ms.Jenny N. Lye Publisher: International Monetary Fund ISBN: 1451844778 Category : Business & Economics Languages : en Pages : 40
Book Description
This paper builds on the ARCH approach for modeling distributions with time-varying conditional variance by using the generalized Student t distribution. The distribution offers flexibility in modeling both leptokurtosis and asymmetry (characteristics seen in high-frequency financial time series data), nests the standard normal and Student t distributions, and is related to the Gram Charlier and mixture distributions. An empirical ARCH model based on this distribution is formulated and estimated using hourly exchange rate returns for four currencies. The generalized Student t is found to better model the empirical conditional and unconditional distributions than other distributional specifications.
Author: Ms.Jenny N. Lye Publisher: International Monetary Fund ISBN: 1451844778 Category : Business & Economics Languages : en Pages : 40
Book Description
This paper builds on the ARCH approach for modeling distributions with time-varying conditional variance by using the generalized Student t distribution. The distribution offers flexibility in modeling both leptokurtosis and asymmetry (characteristics seen in high-frequency financial time series data), nests the standard normal and Student t distributions, and is related to the Gram Charlier and mixture distributions. An empirical ARCH model based on this distribution is formulated and estimated using hourly exchange rate returns for four currencies. The generalized Student t is found to better model the empirical conditional and unconditional distributions than other distributional specifications.
Author: International Monetary Fund Publisher: International Monetary Fund ISBN: 9781557759801 Category : Business & Economics Languages : en Pages : 144
Book Description
Research activity in the IMF emphasizes the links between the organization's policy and operational concerns. The main objectives of research is IMF staff understanding of policy and operational issues relevant to the institution, and to improve the analytical quality of the work prepared for management and the Executive Board and the advice provided to member countries. The scope of research in the IMF is defined by the purposes and functions of the institution. In order to foster innovation and ensure quality control, the IMF makes much of its research available outside the institution and encourages staff to interact with academia and other research organizations through conferences, seminars, and occasional joint research projects. The visiting scholar’s program has also enhanced the quality of research done in the IMF. This program brings in leading members of the economics profession from around the world to assist in the preparation of papers for the Executive Board and to conduct research on IMF-related issues.
Author: International Monetary Fund Publisher: International Monetary Fund ISBN: 9781557758606 Category : Business & Economics Languages : en Pages : 124
Book Description
A selective index of major research papers prepared by IMF staff in 1991-98.
Author: International Monetary Fund Publisher: International Monetary Fund ISBN: 9781557758620 Category : Business & Economics Languages : en Pages : 98
Book Description
This report, commissioned by the Executive Board, was prepared by a committee of academic economists. The report assesses the appropriateness of current research activities, the quality and added value of the IMF's economic research and its utility in the IMF among its member countries and within the wider economics community. This publication also includes responses to the report by the IMF's staff, Managing Director, and Executive Board.
Author: International Monetary Fund. Research Dept. Publisher: International Monetary Fund ISBN: 1451974167 Category : Business & Economics Languages : en Pages : 204
Book Description
This paper analyzes contagion and volatility with imperfect credit markets. The paper interprets contagion effects as an increase in the volatility of shocks impinging on the economy. The implications of this approach are analyzed in a model in which domestic banks borrow at a premium on world capital markets, and domestic producers borrow at a premium from domestic banks. Financial spreads depend on a markup that compensates lenders, in particular, for the expected cost of contract enforcement. Higher volatility increases financial spreads and the producers’ cost of capital.
Author: Tekle Bobo Publisher: ISBN: 9783346288912 Category : Languages : en Pages : 38
Book Description
Literature Review from the year 2020 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, language: English, abstract: This paper is a review to the GARCH family's models. Since the seminal paper of Engle from 1982, much advancement has been made in understanding GARCH models and their multivariate extensions. In MGARCH models parsimonious models should be used to overcome the difficulty of estimating the VEC model ensuring MGARCH modeling is to provide a realistic and parsimonious specification of the variance matrix ensuring its positivity. BEKK models are flexible but require too many parameters for multiple time series of more than four elements. BEKK models are much more parsimonious but very restrictive for the cross-dynamics. They are not suitable if volatility transmission is the object of interest, but they usually do a good job in representing the dynamics of variances and covariance. DCC models allow for different persistence between variances and correlations, but impose common persistence in the latter (although this may be relaxed) Student's t distribution assumption is more proper under negative skewness and high kurtosis of return series. Understanding and predicting the temporal dependence in the second-order moments of asset returns is important for many issues in financial econometrics. It is now widely accepted that financial volatilities move together over time across assets and markets. Recognizing this feature through a multivariate modeling framework leads to more relevant empirical models than working with separate univariate models. From a financial point of view, it opens the door to better decision tools in various areas, such as asset pricing, portfolio selection, option pricing, and hedging and risk management. Indeed, unlike at the beginning of the 1990s, several institutions have now developed the necessary skills to use the econometric theory in a financial perspective.
Author: Ms.Jenny N. Lye
Author: Ms.Jenny N. Lye
Author: International Monetary Fund
Author: International Monetary Fund
Author: International Monetary Fund
Author: International Monetary Fund. Research Dept.
Author: Tekle Bobo
Author: 
Author: International Monetary Fund
Author: Chris Brooks
Author: International Monetary Fund. Interdepartmental Working Group on Fund Policy Advice