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