Stylized facts of financial time series and hidden semi-Markov models
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- Tobias Rydén & Timo Teräsvirta & Stefan Åsbrink, 1998.
"Stylized facts of daily return series and the hidden Markov model,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 13(3), pages 217-244.
- Rydén, Tobias & Teräsvirta, Timo & Åsbrink, Stefan, 1996. "Stylized Facts of Daily Return Series and the Hidden Markov Model," SSE/EFI Working Paper Series in Economics and Finance 117, Stockholm School of Economics.
- Eugenie Hol & Siem Jan Koopman & Borus Jungbacker, 2004.
"Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements,"
Computing in Economics and Finance 2004
342, Society for Computational Economics.
- Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie, 2005. "Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 445-475, June.
- Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1988.
"Mean Reversion in Equilibrium Asset Prices,"
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2762, National Bureau of Economic Research, Inc.
- Jun Yu, 2002. "Forecasting volatility in the New Zealand stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 12(3), pages 193-202.
- 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.
- 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.
- Christopher M. Turner & Richard Startz & Charles R. Nelson, 1989.
"A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market,"
NBER Working Papers
2818, National Bureau of Economic Research, Inc.
- 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.
- repec:cup:cbooks:9780521779654 is not listed on IDEAS
- repec:cup:cbooks:9780521770415 is not listed on IDEAS
- Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
- 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.
- 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.
- C. W. J. GRANGER & Zhuanxin DING, 1995. "Some Properties of Absolute Return: An Alternative Measure of Risk," Annales d'Economie et de Statistique, ENSAE, issue 40, pages 67-91.
- 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.
- 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.
- 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.
- Turner, C.M. & Startz, R. & Nelson, C.R., 1989.
"The Markov Model Of Heteroskedasticity, Risk And Learning In The Stock Market,"
Discussion Papers in Economics at the University of Washington
89-01, Department of Economics at the University of Washington.
- Turner, C.M. & Startz, R. & Nelson, C.R., 1989. "The Markov Model Of Heteroskedasticity, Risk And Learning In The Stock Market," Working Papers 89-01, University of Washington, Department of Economics.
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