Simultaneity and non-linear variability in financial markets: simulation and forecasting

DOI10.1002/ASMB.632MaRDI QIDQ3439769zbMATHOpenAlexFDO

Authors Gordon E. Reikard

Publication date 29 May 2007

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.632

zbMATH Keywords

exchange ratesforecastingsimulationsimultaneityfinancial marketsfractalitynonlinear variability

Mathematics Subject Classification ID

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Cites work

• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Forecasting volatility
• Introduction to Econophysics
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)

Cited in

(1)

• Simulation of a financial market: the possibility of catastrophic disequilibrium

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