## 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
Nonlinearity in the dynamics of financial markets
β Scribed by Gunduz Caginalp; Mark DeSantis
- Publisher
- Elsevier Science
- Year
- 2011
- Tongue
- English
- Weight
- 377 KB
- Volume
- 12
- Category
- Article
- ISSN
- 1468-1218
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