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

DOI10.1002/ASMB.632zbMATH Open1126.91033OpenAlexW2111430999MaRDI QIDQ3439769FDOQ3439769

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

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zbMATH Keywords

exchange ratesforecastingsimulationsimultaneityfinancial marketsfractalitynonlinear variability

Mathematics Subject Classification ID

Cites Work

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

Cited In (1)

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

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