Kenneth F. Kroner

TL;DR: In this paper, a new parameterization of the multivariate ARCH process is proposed and equivalence relations are discussed for the various ARCH parameterizations, and conditions suffcient to guarantee the positive deffniteness of the covariance matrices are developed.

TL;DR: An overview of some of the developments in the formulation of ARCH models and a survey of the numerous empirical applications using financial data can be found in this paper, where several suggestions for future research, including the implementation and tests of competing asset pricing theories, market microstructure models, information transmission mechanisms, dynamic hedging strategies, and pricing of derivative assets, are also discussed.

TL;DR: In this article, a bivariate error correction model with a GARCH error structure was proposed to estimate the risk-minimizing futures hedge ratios for several currencies and a dynamic hedging strategy was proposed in which the potential risk reduction is more than enough to offset the transactions costs for most investors.

TL;DR: In this article, the authors introduce a new class of models for the dynamics of short-term interest rate volatility, which allows volatility to depend on both interest rate levels and information shocks, and conclude that the volatility processes in many existing theoretical models of interest rates are misspecified.

TL;DR: In this article, the authors use a no-arbitrage, cost of carry asset pricing model to show that the existence of coin? tegration between spot and forward (futures) prices depends on the time-series properties of the cost-of-carry.