Volatility model selection for extremes of financial time series

Handbook of Financial Time Series || Mod

Handbook of Financial Time Series || Model Selection

✍ Mikosch, Thomas; Kreiß, Jens-Peter; Davis, Richard A.; Andersen, Torben Gustav 📂 Article 📅 2009 🏛 Springer Berlin Heidelberg 🌐 German ⚖ 650 KB

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.

Volatility clustering and long memory of

Volatility clustering and long memory of financial time series and financial price model

✍ Niu, Hongli; Wang, Jun 📂 Article 📅 2013 🏛 Elsevier Science 🌐 English ⚖ 750 KB

Modelling fluctuations of financial time

Modelling fluctuations of financial time series: from cascade process to stochastic volatility model

✍ J.F. Muzy; J. Delour; E. Bacry 📂 Article 📅 2000 🏛 Springer 🌐 English ⚖ 442 KB

Handbook of Financial Time Series Volume

Handbook of Financial Time Series Volume 1 || Copula–Based Models for Financial Time Series

✍ Mikosch, Thomas; Kreiß, Jens-Peter; Davis, Richard A.; Andersen, Torben Gustav 📂 Article 📅 2009 🏛 Springer Berlin Heidelberg 🌐 German ⚖ 478 KB

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.

HEAVY-TAILED-DISTRIBUTED THRESHOLD STOCH

HEAVY-TAILED-DISTRIBUTED THRESHOLD STOCHASTIC VOLATILITY MODELS IN FINANCIAL TIME SERIES

✍ Cathy W. S. Chen; F. C. Liu; Mike K. P. So 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 755 KB

Model selection for nonlinear time serie

Model selection for nonlinear time series

✍ Sebastiano Manzan 📂 Article 📅 2004 🏛 Springer-Verlag 🌐 English ⚖ 412 KB