Global and local stationary modelling in finance : theory and empirical evidence.
Year of publication: |
2007-04
|
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Authors: | Guégan, Dominique |
Institutions: | Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) |
Subject: | Non-stationarity | distribution function | copula | long-memory | switching | SETAR | Stopbreak models | cumulants | estimation |
Extent: | application/pdf |
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Series: | Documents de travail du Centre d'Economie de la Sorbonne. - ISSN 1955-611X. |
Type of publication: | Book / Working Paper |
Notes: | 46 pages |
Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation ; G12 - Asset Pricing |
Source: |
-
Global and local stationary modelling in finance : theory and empirical evidence
Guegan, Dominique, (2007)
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A Meta-Distribution for Non-Stationary Samples
Guégan, Dominique, (2009)
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How Can We Define The Concept of Long Memory? An Econometric Survey
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Which is the best model for the US inflation rate : a structural changes model or a long memory.
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Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market.
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