A Trend-Switching Financial Time Series Model with Level-Duration Dependence
The financial time series model that can capture the nonlinearity and asymmetry of stochastic process has been paid close attention for a long time. However, it is still open to completely overcome the difficult problem that motivates our researches in this paper. An asymmetric and nonlinear model w...
Main Authors: | , , , , |
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Format: | Article |
Language: | English |
Published: |
Hindawi Limited
2012-01-01
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Series: | Mathematical Problems in Engineering |
Online Access: | http://dx.doi.org/10.1155/2012/345093 |