Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility

Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility pdf epub mobi txt 電子書 下載2025

出版者:Physica
作者:Christian Hafner
出品人:
頁數:222
译者:
出版時間:1997-10-15
價格:USD 99.00
裝幀:Paperback
isbn號碼:9783790810417
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The book deals with the econometric analysis of high frequency financial time series. It emphasizes a new nonparametric approach to volatility models and provides theoretical and empirical comparisons with conventional ARCH models, applied to foreign exchange rates. Nonparametric models are discussed that cope with asymmetry and long memory of volatility as well as heterogeneity of higher conditional moments.

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