Peter Vlaar
Biographic Data
| ID | 9107588 |
|---|---|
| NAME | Peter Vlaar |
| GIVEN NAMES | Peter |
| FAMILY NAME | Vlaar |
| SIGNATURE | VLAAR P |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1993 |
| LATEST PUBLICATION YEAR | 1993 |
| H-INDEX | 0 |
The Message in Weekly Exchange Rates in the European Monetary System
Weekly rates of the European Monetary System (EMS) vis-à-vis the Deutsche mark from April 1979 to March 1991 are modeled as a combined MA (1)–GARCH(1, 1)–jump process. The moving average (MA) part accounts for mean reversion required for the rates to stay inside the target zone. The generalized autoregressive conditional heteroscedasticity (GARCH) part accounts for changing volatility, whereas the jump process models parity changes and other erra…
No prominent works on this page.
The Message in Weekly Exchange Rates in the European Monetary System
Weekly rates of the European Monetary System (EMS) vis-à-vis the Deutsche mark from April 1979 to March 1991 are modeled as a combined MA (1)–GARCH(1, 1)–jump process. The moving average (MA) part accounts for mean reversion required for the rates to stay inside the target zone. The generalized autoregressive conditional heteroscedasticity (GARCH) part accounts for changing volatility, whereas the jump process models parity changes and other erra…
Autoregressive conditional heteroskedasticity (1 work) · Autoregressive model (1 work) · Complex Systems and Time Series Analysis (1 work) · Econometrics (1 work) · Financial Risk and Volatility Modeling (1 work) · Goodness of fit (1 work) · Heteroscedasticity (1 work) · Jump (1 work) · Mathematics (1 work) · Mean reversion (1 work)