Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility

by Christian M. Hafner

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

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Year of publication:	1998
Authors:	Hafner, Christian M.
Publisher:	Heidelberg : Physica-Verlag HD
Subject:	Zeitreihenanalyse \| Time series analysis \| Wechselkurs \| Exchange rate \| Theorie \| Theory \| Volatilität \| Volatility \| Nichtlineare Regression \| Nonlinear regression \| Schätzung \| Estimation \| ARCH-Modell \| ARCH model
Description of contents:	Table of Contents [gbv.de]

Extent:	Online-Ressource (XIX, 222 p) online resource
Series:	Contributions to Economics
Type of publication:	Book / Working Paper
Language:	English
Notes:	IntroductionModelling Volatility of Financial Time Series -- Nonlinear Time Series Analysis -- ARCH Models and Extensions -- Nonparametric and Semiparametric Models -- Conclusions and Outlook.
ISBN:	978-3-662-12605-9 ; 978-3-7908-1041-7
Other identifiers:	10.1007/978-3-662-12605-9 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013521566