Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility

Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility
Author :
Publisher : Springer Science & Business Media
Total Pages : 235
Release :
ISBN-10 : 9783662126059
ISBN-13 : 3662126052
Rating : 4/5 (052 Downloads)

Book Synopsis Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility by : Christian Hafner

Download or read book Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility written by Christian Hafner and published by Springer Science & Business Media. This book was released on 2013-11-27 with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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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