Empirical modeling of exchange rate dynamics
Empirical modeling of exchange rate dynamics
复制标题
汇率动态的实证模型
DOI：
10.1007/978-3-642-45641-1
复制
发表时间：
1988
影响因子：
0.9
通讯作者：
F. Diebold
中科院分区：
文献类型：
--
作者：
F. Diebold
1.导言。2经济时间序列的条件异方差性2.1)介绍和总结。2.2)自回归连续异方差过程2.2.1）条件矩结构。2.2.2）无条件力矩结构。2.3)时间上的聚合过程。2.4)估计和假设检验。2.5)ARCH存在时几种常见序列相关检验统计量的渐近分布2.5.1）背景。2.5.2）修正Bartlett标准误差带。2.5.3）关于EX 4 t.-的存在2.5.4）Box-Pierce和Ljung-Box统计。2.5.5）结论。2.6)结束语。3周单变量名义汇率波动。3.1)介绍。3.2)移动样本时刻作为波动性指标。3.3)数据。3.4)模型制定。3.5)实证结果。3.6)结论。第三章测试单位根的附录。A3.1）第一阶案例。A3.2）高阶过程。A3.3）一般阿尔马表示法。4月度单变量名义汇率波动。4.1)介绍。4.2)实证分析。4.3)与一些著名的金融结果的比较。4.4)结束语。5真实的汇率变动5.1)介绍。5.2)购买力平价的形式。5.3)三个关键奇偶校验条件之间的关系。5.3.a）背景。- 5.3.b）平价条件。5.3.c）关于对等条件的结论。5.4)关于偏离购买力平价的随机行为。5.5)实证分析。5.6)结论。参考资料。
1 Introduction.- 2 Conditional Heteroskedasticity In Economic Time Series.- 2.1) Introduction and Summary.- 2.2) Autoregressive 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 Presence of ARCH.- 2.5.1) Background.- 2.5.2) Correcting the Bartlett Standard Error Bands.- 2.5.3) On the Existence of EX4t.- 2.5.4) The Box-Pierce and Ljung-Box Statistics.- 2.5.5) Conclusions.- 2.6) Concluding Remarks.- 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.- 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.- 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.