Volatility Computed by Time Series Operators at High Frequency (English)
- New search for: Muller, U. A.
- New search for: University of Hong Kong
- New search for: Muller, U. A.
- New search for: Chan, W. S.
- New search for: Li, W. K.
- New search for: Tong, H.
- New search for: University of Hong Kong
In:
Statistics and finance
;
121-140
;
2000
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ISBN:
- Conference paper / Print
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Title:Volatility Computed by Time Series Operators at High Frequency
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Contributors:
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Conference:International workshop, Statistics and finance ; 1999 ; Hong Kong
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Published in:Statistics and finance ; 121-140
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Publisher:
- New search for: Imperial College Press
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Place of publication:London
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Publication date:2000-01-01
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Size:20 pages
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Remarks:Also known as IWSF; Includes bibliographical references
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ISBN:
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Type of media:Conference paper
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Type of material:Print
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Language:English
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Keywords:
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Source:
© Metadata Copyright the British Library Board and other contributors. All rights reserved.
Table of contents conference proceedings
The tables of contents are generated automatically and are based on the data records of the individual contributions available in the index of the TIB portal. The display of the Tables of Contents may therefore be incomplete.
- 3
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Heavy-tailed and Non-linear Continuous-Time ARMA Models for Financial Time SeriesBrockwell, P. J. / University of Hong Kong et al. | 2000
- 23
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Nonlinear State Space Model Approach to Financial Time Series with Time-Varying VarianceKitagawa, G. / Sato, S. / University of Hong Kong et al. | 2000
- 45
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Nonparametric Estimation and Bootstrap for Financial Time SeriesKreiss, J.-P. / University of Hong Kong et al. | 2000
- 68
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Comparison of Two Discretization Methods for Estimating Continuous-Time Autoregressive ModelsTsai, H. / Chan, K. S. / University of Hong Kong et al. | 2000
- 86
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A Note on Kernel Estimation in Integrated Time SeriesXia, Y.-C. / Li, W. K. / Tong, H. / University of Hong Kong et al. | 2000
- 97
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Stylized Facts on the Temporal and Distributional Properties of Absolute Returns: An UpdateGranger, C. W. J. / Spear, S. / Ding, Z.-X. / University of Hong Kong et al. | 2000
- 121
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Volatility Computed by Time Series Operators at High FrequencyMuller, U. A. / University of Hong Kong et al. | 2000
- 141
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Missing Values in ARFIMA ModelsPalma, W. / University of Hong Kong et al. | 2000
- 153
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Second Order Tail Effectsde Vries, C. G. / University of Hong Kong et al. | 2000
- 169
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Recent Developments in Heteroskedastic Time SeriesChan, N. H. / Petris, G. / University of Hong Kong et al. | 2000
- 185
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Bayesian Estimation of Stochastic Volatility Model via Scale Mixtures DistributionsChoy, S. T. B. / Chan, C. M. / University of Hong Kong et al. | 2000
- 205
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On a Smooth Transition Double Threshold ModelLee, Y. N. / Li, W. K. / University of Hong Kong et al. | 2000
- 226
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Testing GARCH versus E-GARCHLing, S. / McAleer, M. / University of Hong Kong et al. | 2000
- 245
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Interval Prediction of Financial Time SeriesCheng, B. / Tong, H. / University of Hong Kong et al. | 2000
- 261
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A Decision Theoretic Approach to Forecast EvaluationGranger, C. W. J. / Pesaran, M. H. / University of Hong Kong et al. | 2000
- 279
-
Learning and Forecasting with Stochastic Neural NetworksLai, T. L. / Wong, S. P.-S. / University of Hong Kong et al. | 2000
- 303
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The Overreacting Behavior of Real Exchange Rate DynamicsCheung, Y.-W. / Lai, K. S. / University of Hong Kong et al. | 2000
- 319
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Portfolio Management and Market Risk Quantification Using Neural NetworksFranke, J. / University of Hong Kong et al. | 2000
- 336
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Optimal Asset Allocation under GARCH ModelHui, W. C. / Yang, H. / Yuen, K. C. / University of Hong Kong et al. | 2000
- 347
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Statistical Modelling of the J-Curve Effect in Trade Balance: A Case StudyIp, W. C. / Wong, H. / Xie, Z. J. / Liu, Y. L. / University of Hong Kong et al. | 2000
- 355
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Ruin Theory with Interest IncomesYang, H. / Zhang, L. / University of Hong Kong et al. | 2000
- 370
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Detecting Structural Changes Using Genetic Programming with an Application to the Greater-China Stock MarketsZhang, X. B. / Tse, Y. K. / Chan, W. S. / University of Hong Kong et al. | 2000