Stylized facts of financial time series and hidden semi-Markov models
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- Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
- Turner, C.M. & Startz, R. & Nelson, C.R., 1989.
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89-01, University of Washington, Department of Economics.
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- Rydén, Tobias & Teräsvirta, Timo & Åsbrink, Stefan, 1996.
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SSE/EFI Working Paper Series in Economics and Finance
117, Stockholm School of Economics.
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- G. D. Gettinby & C. D. Sinclair & D. M. Power & R. A. Brown, 2004. "An Analysis of the Distribution of Extreme Share Returns in the UK from 1975 to 2000," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5-6), pages 607-646.
- Christopher M. Turner & Richard Startz & Charles R. Nelson, 1989.
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- Turner, Christopher M. & Startz, Richard & Nelson, Charles R., 1989. "A Markov model of heteroskedasticity, risk, and learning in the stock market," Journal of Financial Economics, Elsevier, vol. 25(1), pages 3-22, November.
- Yu, Jun, 1999.
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175, Department of Economics, The University of Auckland.
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- Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1988.
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- Franses,Philip Hans & Dijk,Dick van, 2000.
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- Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521779654.
- Praetz, Peter D, 1972. "The Distribution of Share Price Changes," The Journal of Business, University of Chicago Press, vol. 45(1), pages 49-55, January.
- Richard D. F. Harris & C. Coskun Küçüközmen, 2001. "The Empirical Distribution of UK and US Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(5-6), pages 715-740.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- Robert W. Faff & David Hillier & Joseph Hillier, 2000. "Time Varying Beta Risk: An Analysis of Alternative Modelling Techniques," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(5&6), pages 523-554.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- repec:adr:anecst:y:1995:i:40:p:04 is not listed on IDEAS
- Blattberg, Robert C & Gonedes, Nicholas J, 1974. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," The Journal of Business, University of Chicago Press, vol. 47(2), pages 244-80, April.
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