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Modelling Financial Time Series

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

Introduction Features of Financial Returns Modelling Price Volatility Forecasting Standard Deviations The Accuracy of Autocorrelation Estimates Testing the Random Walk Hypothesis Forecasting Trends in Prices Evidence against the Efficiency of Futures Markets Valuing Options Appendix.

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2003Forecasting Volatility in Financial Markets: A Review 1994Multivariate Stochastic Variance Models 2002Bayesian Analysis of Stochastic Volatility Models 2010A Long Memory Property of Stock Market Returns and a New Model 2005The Relative Contribution of Jumps to Total Price Variance 1996The econometrics of financial markets 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts 2001Modeling and Forecasting Realized Volatility

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