Document Type
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BL
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Record Number
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719466
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Doc. No
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b539158
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Main Entry
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Christian M. Hafner.
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Title & Author
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Nonlinear time series analysis with applications to foreign exchange rate volatility : : with 29 tables\ Christian M. Hafner.
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Publication Statement
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Heidelberg: Physica-Verl., 1998
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Series Statement
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Contributions to economics
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Page. NO
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XIX, 222 Seiten : Diagramme.
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ISBN
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379081041X
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: 9783790810417
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Contents
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Introduction.- Modelling Volatility of Financial Time Series: Risk and Volatility; Stock Returns; Interest Rates; Foreign Exchange Rates; Conclusions.- Nonlinear Time Series Analysis: Introduction; Deterministic Systems and Chaos; Parametric Stochastic Models; Nonparametric and Semiparametric Models; Testing Linearity; Nonlinear Prediction; Directionality and Reversibility; Conclusions.- ARCH Models and Extensions: Introduction; Standard ARCH and GARCH; Specification of the Conditional Distribution; Persistence of Volatitlity; Asymmetry of Volatility; Risk and Return; Asymmetry and Persistence of the FX Rates; News Impact Functions; Temporal (Dis-)Aggregation; Market Components and Heterogeneous ARCH; Directionality of ARCH Processes; Conclusions.- Nonparametric and Semiparametric Models: Introduction; The CHARN Model; Higher Order Conditional Moments and Stochastic Volatility; Nonparametric Generalized ARCH Models; Conclusions.- Conclusions and Outlook.
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Subject
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ARCH-Prozess.
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Subject
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Kapitalmarkttheorie.
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Subject
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Nichtlineare Zeitreihenanalyse.
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LC Classification
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HG3823.C475 1998
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Added Entry
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Christian M Hafner
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