## Abstract Recent research investigating the properties of highβfrequency financial data has suggested that the stochastic nonlinearity widely present in such data may be characterized by heterogeneous components in conditional volatility, and nonlinear dependence of threshold autoregressive form
β¦ LIBER β¦
Estimating daily volatility in financial markets utilizing intraday data
β Scribed by Bernard Bollen; Brett Inder
- Book ID
- 117628154
- Publisher
- Elsevier Science
- Year
- 2002
- Tongue
- English
- Weight
- 165 KB
- Volume
- 9
- Category
- Article
- ISSN
- 0927-5398
No coin nor oath required. For personal study only.
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The Handbook Of Financial Time Series Gives An Up-to-date Overview Of The Field And Covers All Relevant Topics Both From A Statistical And An Econometrical Point Of View. There Are Many Fine Contributions, And A Preamble By Nobel Prize Winner Robert F. Engle.