Forecasting of global market prices of major financial instruments
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Publication:2004258
Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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Cites work
- Analysis of Financial Time Series
- Applied Time Series Econometrics
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- DIAGNOSTIC TEST FOR GARCH MODELS BASED ON ABSOLUTE RESIDUAL AUTOCORRELATIONS
- GARCH models. Structure, statistical inference and financial applications
- Modeling and forecasting volatility series: with reference to gold prize
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Threshold heteroskedastic models
- Time series analysis and its applications. With R examples
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