| dc.contributor.author | Nicolau, João | |
| dc.date.accessioned | 2024-04-09T08:38:32Z | |
| dc.date.available | 2024-04-09T08:38:32Z | |
| dc.date.issued | 2007 | |
| dc.description.abstract | 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. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | 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) | pt_PT |
| dc.identifier.isbn | 10 1-4020-5690-7 | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/30700 | |
| dc.language.iso | eng | pt_PT |
| dc.publisher | Springer | pt_PT |
| dc.subject | ARCH Models | pt_PT |
| dc.subject | Diffusion Processes | pt_PT |
| dc.subject | Bounded Random Walk | pt_PT |
| dc.subject | Volatility-Induced Stationarity | pt_PT |
| dc.subject | Second Order Stochastic Differential Equations | pt_PT |
| dc.title | Financial econometric model | pt_PT |
| dc.type | book part | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | bookPart | pt_PT |
