Nonlinearities and regime shifts in financial time series
This volume contains four essays on various topics in the field of financial econometrics. All four discuss the properties of high frequency financial data and its implications on the model choice when an estimate of the capital asset return volatility is in focus. The interest lies both in characte...
Main Author: | Åsbrink, Stefan E. |
---|---|
Format: | Doctoral Thesis |
Language: | English |
Published: |
Handelshögskolan i Stockholm, Ekonomisk Statistik (ES)
1997
|
Subjects: | |
Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-866 http://nbn-resolving.de/urn:isbn:91-7258-439-4 |
Similar Items
-
A new non-linear GARCH model
by: Hagerud, Gustaf E.
Published: (1997) -
Properties and evaluation of volatility models
by: Malmsten, Hans
Published: (2004) -
Modelling economic high-frequency time series
by: Lundbergh, Stefan
Published: (1999) -
Statistical properties of GARCH processes
by: He, Changli
Published: (1997) -
Testing the unit root hypothesis in nonlinear time series and panel models
by: Sandberg, Rickard
Published: (2004)