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Publicação
Financial econometric model
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Autores
Orientador(es)
Resumo(s)
Four recent financial econometric models are discussed. The first aims to capture the volatility created by “chartists”; the second intends to model bounded random walks; the third involves a mechanism where the stationarity is volatility-induced, and the last one accommodates nonstationary diffusion integrated stochastic processes that can be made stationary by differencing.
Descrição
Palavras-chave
ARCH Models Diffusion Processes Bounded Random Walk Volatility-Induced Stationarity Second Order Stochastic Differential Equations
Contexto Educativo
Citação
Nicolau, João .(2007). “Financial econometric model” in A Portrait of State-of-the-art Research at the Technical University of Lisbon, Manuel Seabra Pereira, (Ed.), pp. 23-41. (Search Chapter PDF in 2024)