Blick ins Buch

Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility

Christian Hafner (Autor)

Buch | Softcover

XIX, 222 Seiten

1997
Physica (Verlag)
978-3-7908-1041-7 (ISBN)

Lese- und Medienproben

Inhaltsverzeichnis (PDF)

Artikel merken

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.

Erscheint lt. Verlag	15.10.1997
Reihe/Serie	Contributions to Economics
Zusatzinfo	XIX, 222 p.
Verlagsort	Heidelberg
Sprache	englisch
Maße	155 x 235 mm
Gewicht	372 g
Themenwelt	Mathematik / Informatik ► Mathematik
Themenwelt	Wirtschaft ► Volkswirtschaftslehre ► Makroökonomie
Schlagworte	Angewandte nichtparametrische Statistik • applied nonparametric statistics • Calculus • Econometrics • Empirical Finance • Empirische Finanztheorie • Exchange rates • Modeling • Ökonom • Ökonometrie • Semiparametric Model • Statistics • stochastic models • Time Series Analysis • Volatilität • Volatility • Wechselkurse • Zeitreihenanalyse
ISBN-10	3-7908-1041-X / 379081041X
ISBN-13	978-3-7908-1041-7 / 9783790810417
Zustand	Neuware