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Recent Topics in Time Series and Finance: Theory and Applications in Emerging Markets

Editor

Listed:
  • Coronado, Semei
    (Universidad de Guadalajara)

  • Rojas, Omar
    (Universidad Panamericana)

  • Venegas-Martínez, Francisco
    (Escuela Superior de Economía del Instituto Politécnico Nacional)

Abstract

No abstract is available for this item.

Suggested Citation

  • Coronado, Semei & Rojas, Omar & Venegas-Martínez, Francisco (ed.), 2018. "Recent Topics in Time Series and Finance: Theory and Applications in Emerging Markets," Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional, Escuela Superior de Economía, Instituto Politécnico Nacional, edition 1, volume 1, number 022.
  • Handle: RePEc:ipn:libros:022
    as

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    File URL: http://yuss.me/revistas/Libros/book2018aFVMn022.pdf
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    References listed on IDEAS

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    1. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
    2. T. Clifton Green & Stephen Figlewski, 1999. "Market Risk and Model Risk for a Financial Institution Writing Options," Journal of Finance, American Finance Association, vol. 54(4), pages 1465-1499, August.
    3. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: I. Empirical facts," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 991-1012.
    4. Granger, Clive W.J. & Sin, Chor-yiu, 1999. "Modelling the Absolute Returns of Different Stock Indices: Exploring the Forecastability of an Alternative Measure of Risk," University of California at San Diego, Economics Working Paper Series qt48r4781r, Department of Economics, UC San Diego.
    5. Stephen J. Taylor, 1994. "Modeling Stochastic Volatility: A Review And Comparative Study," Mathematical Finance, Wiley Blackwell, vol. 4(2), pages 183-204, April.
    6. Lars Forsberg & Eric Ghysels, 2007. "Why Do Absolute Returns Predict Volatility So Well?," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(1), pages 31-67.
    7. Cizeau, Pierre & Liu, Yanhui & Meyer, Martin & Peng, C.-K. & Eugene Stanley, H., 1997. "Volatility distribution in the S&P500 stock index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 245(3), pages 441-445.
    8. Jean-Philippe Bouchaud & Andrew Matacz & Marc Potters, 2001. "The leverage effect in financial markets: retarded volatility and market panic," Science & Finance (CFM) working paper archive 0101120, Science & Finance, Capital Fund Management.
    9. Zeyu Zheng & Kazuko Yamasaki & Joel N. Tenenbaum & H. Eugene Stanley, 2012. "Carbon-dioxide emissions trading and hierarchical structure in worldwide finance and commodities markets," Papers 1205.1861, arXiv.org, revised Aug 2013.
    10. Peter F. Christoffersen & Francis X. Diebold, 2000. "How Relevant is Volatility Forecasting for Financial Risk Management?," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 12-22, February.
    11. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics review: I. Empirical facts," Post-Print hal-00621058, HAL.
    12. M. Constantin & S. Das Sarma, 2005. "Volatility, Persistence, and Survival in Financial Markets," Papers physics/0507020, arXiv.org, revised Nov 2005.
    13. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    14. Taylor, Stephen J., 1987. "Forecasting the volatility of currency exchange rates," International Journal of Forecasting, Elsevier, vol. 3(1), pages 159-170.
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    16. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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