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Cointegrating Smooth Transition RegressionsWith Applications to the Asian CurrencyCrisis
This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array ...
Common Factors Governing VDAX Movements and the Maximum Loss
Based on daily VDAX data this paper analyzes the factors governing the movements of implied volatilities of options on the German stock index DAX. Using Principal Components Analysis over the sample period from 1996 to ...