Article1987

Modelling Financial Time Series.

191 citations0/0 files storedJournal of the Royal Statistical Society Series D (The Statistician)

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 Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

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: A Computer Program for Modelling Financial Time Series.

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 — 191 citations exist upstream.

Cited by

2008A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries 2002The realized volatility of FTSE‐100 futures prices 2013Do emerging markets become more efficient as they develop? Long memory persistence in equity indices 2002Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH‐NIG model 2006Small sample properties of GARCH estimates and persistence 2006Chapter 1 Bayesian Forecasting 2011Stochastic Volatility in General Equilibrium 2002Forecasting and trading currency volatility: an application of recurrent neural regression and model combination

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