Book1998

Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility

46 citations0/0 files storedContributions to economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

Abstract

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.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 46 citations exist upstream.

Cited by

2003On the cusum of squares test for variance change in nonstationary and nonparametric time series models 2006Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory 2001Estimating Functions for Nonlinear Time Series Models 2010On geometric ergodicity of CHARME models 2003Bootstrapping nonparametric estimators of the volatility function

Imported from OpenAlex (CC0) — nothing here is generated.