Abstract
The statistical properties of three foreign exchange rate series are analyzed using a redefinition of the time scale to cope with the inherent seasonal heteroskedasticity. A conditional heteroskedastic autoregressive nonlinear (CHARN) model is estimated by local linear regression techniques. The results show significant nonlinearities for the mean function as well as for the variance function.
Comments on a preliminary presentation at the fifth (EC)2 conference are gratefully acknowledged. The XploRe macros for local polynomial estimation and the data were generously provided by Marlene Müller and Olsen Associates, respectively.
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© 1996 Physica-Verlag Heidelberg
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Bossaerts, P., Hafner, C., Härdle, W. (1996). A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series. In: Bol, G., Nakhaeizadeh, G., Vollmer, KH. (eds) Finanzmarktanalyse und -prognose mit innovativen quantitativen Verfahren. Wirtschaftswissenschaftliche Beiträge, vol 125. Physica-Verlag HD. https://doi.org/10.1007/978-3-642-61489-7_4
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DOI: https://doi.org/10.1007/978-3-642-61489-7_4
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