Statistical analysis of financial time series under the assuption of local stationarity
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|Date of creation:||2003|
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- R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
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- Härdle, Wolfgang & Herwartz, Helmut & Spokoiny, Vladimir G., 2001. "Time inhomogeneous multiple volatility modelling," SFB 373 Discussion Papers 2001,7, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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- Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
- Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series 95-24, Board of Governors of the Federal Reserve System (U.S.).
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"Autoregressive conditional heteroskedasticity and changes in regime,"
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- Tom Doan, . "RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model," Statistical Software Components RTZ00083, Boston College Department of Economics.
- G. P. Nason & R. von Sachs & G. Kroisandt, 2000. "Wavelet processes and adaptive estimation of the evolutionary wavelet spectrum," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(2), pages 271-292.
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