The book deals with the econometric analysis of high frequency financial time series. It emphasizes a new nonparametric approach to volatility models and provides theoretical and empirical comparisons with conventional ARCH models, applied to foreign exchange rates. Nonparametric models are discussed that cope with asymmetry and long memory of volatility as well as heterogeneity of higher conditional moments.
The book deals with the econometric analysis of high frequency financial time series. It emphasizes a new nonparametric approach to volatility models and provides theoretical and empirical comparisons with conventional ARCH models, applied to foreign exchange rates. Nonparametric models are discussed that cope with asymmetry and long memory of volatility as well as heterogeneity of higher conditional moments.
Introduction.- Modelling Volatility of Financial Time Series.- Nonlinear Time Series Analysis.- ARCH Models and Extensions.- Nonparametric and Semiparametric Models.- Conclusions and Outlook.
Introduction.- Modelling Volatility of Financial Time Series.- Nonlinear Time Series Analysis.- ARCH Models and Extensions.- Nonparametric and Semiparametric Models.- Conclusions and Outlook.
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