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Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility pdf epub mobi txt 电子书下载 2024

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Christian Hafner

Physica

1997-10-15

222

USD 99.00

Paperback

9783790810417

图书标签: 时间序列

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发表于2024-11-28

Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility epub 下载 mobi 下载 pdf 下载 txt 电子书下载 2024

Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility pdf epub mobi txt 电子书下载 2024

图书描述

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.

Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility 下载 mobi epub pdf txt 电子书