Analysis with Applications to Foreign Exchange Rate Volatility

The present book was accepted as a dissertation at the Humboldt Universitat zu Berlin in summer 1996. I am very much obliged to thank my advisor, Professor Wolfgang Hardie, for the continuous, always inspiring support and for opening me the world of non parametric statistics. Without him I probably would have worked on a different, less exciting topic and this book would not exist. Also, I would like to thank my second advisor, Professor Helmut Liitkepohl, for his excellent...
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The present book was accepted as a dissertation at the Humboldt Universitat zu Berlin in summer 1996. I am very much obliged to thank my advisor, Professor Wolfgang Hardie, for the continuous, always inspiring support and for opening me the world of non parametric statistics. Without him I probably would have worked on a different, less exciting topic and this book would not exist. Also, I would like to thank my second advisor, Professor Helmut Liitkepohl, for his excellent introduction to time series analysis and for always helpful comments on my work. This work was financially supported by the Deutsche Forschungsgemein­ schaft, in the first stage while I was a member of the Graduiertenkolleg "Ap­ plied Microeconomics", and later when I came to the Sonderforschungsbereich 373. For an interestingly widespread academic surrounding I want to thank the members of the Graduiertenkolleg and the Sonderforschungsbereich, es­ pecially Stefan Sperlich and Axel Werwatz. For the use of XploRe and many other issues I received substantial help from my colleagues Sigbert Klinke, Thomas Kotter, Marlene Miiller and Swetlana Schmelzer. Concerning many central topics of this dissertation, helpful and improving comments were given by Jorg Breitung, Helmut Herwartz, RolfTschernig and Lijian Yang, who also revised most parts of the manuscript. I have much reason to thank them for their help. Of course, all remaining errors are mine. Berlin, July 1997 CHRISTIAN M 0 HAFNER Contents Preface . . . . . IX List of Tables .