Global and local stationary modelling in finance : theory and empirical evidence
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Other versions of this item:
- Dominique Guégan, 2007. "Global and local stationary modelling in finance: theory and empirical evidence," Documents de travail du Centre d'Economie de la Sorbonne b07053, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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- D. Guegan & J. Zhang, 2010.
"Change analysis of a dynamic copula for measuring dependence in multivariate financial data,"
Taylor & Francis Journals, vol. 10(4), pages 421-430.
- Dominique Guégan & Jing Zhang, 2006. "Change analysis of dynamic copula for measuring dependence in multivariate financial data," Cahiers de la Maison des Sciences Economiques b06090, Université Panthéon-Sorbonne (Paris 1).
- Dominique Guegan & Jing Zhang, 2010. "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368334, HAL.
- Dominique Guegan & Jing Zhang, 2006. "Change analysis of dynamic copula for measuring dependence in multivariate financial data," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00189141, HAL.
- Schnaubelt, Matthias, 2019. "A comparison of machine learning model validation schemes for non-stationary time series data," FAU Discussion Papers in Economics 11/2019, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
More about this item
Keywordsestimation; Non-stationarity; distribution function; copula; long-memory; switching; SETAR; Stopbreak models; cumulants; estimation.; Non stationnarité; copule; processus longue mémoire; Markov switching cumulants;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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