Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility

Introduction.- Modelling Volatility of Financial Time Series.- Nonlinear Time Series Analysis.- ARCH Models and Extensions.- Nonparametric and Semiparametric Models.- Conclusions and Outlook.

octobre 1997, env. 244 pages, Contributions to Economics, Anglais
Physica
978-3-7908-1041-7

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