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autoregressive conditional heteroscedastic model 1 financial asset returns 1 high-frequency data 1 stationary time series 1 stochastic volatility class of models 1
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BIRĂU, FELICIA RAMONA 1
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Anale. Seria Stiinte Economice. Timisoara 1
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STOCHASTIC VOLATILITY MODELS FOR FINANCIAL TIME SERIES ANALYSIS
BIRĂU, FELICIA RAMONA - In: Anale. Seria Stiinte Economice. Timisoara XVIII/Supplement (2012) November, pp. 472-475
This article highlights a comprehensive and approachable perspective to stochastic volatility models for financial time series analysis. Financial time series represent a distinctive category in the economic field, with highly dynamic characteristics, especially in times of financial crisis....
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