Modelling economic high-frequency time series with STAR-STGARCH models
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More about this item
KeywordsFinancial time series; model misspecification test; nonlinear time series; smooth transition autoregressive model; smooth transition GARCH; time series model specification.;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- F31 - International Economics - - International Finance - - - Foreign Exchange
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-1999-01-18 (All new papers)
- NEP-ECM-1999-01-18 (Econometrics)
- NEP-ETS-1999-01-18 (Econometric Time Series)
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