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Mathematical sciences / Technical analysis / Markov models / Autoregressive conditional heteroskedasticity / Econometrics / Time series analysis / Volatility / Economic model / Time series / Statistics / Mathematical finance / Financial economics


20th International Congress on Modelling and Simulation, Adelaide, Australia, 1–6 December 2013 www.mssanz.org.au/modsim2013 Modelling High-Frequency Volatility with Three-State FIGARCH models Y. Shi a , K.Y-. Ho a
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Document Date: 2013-11-19 22:07:31

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File Size: 1,45 MB

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City

Adelaide / /

Company

Australian Securities Exchange / Thomson Reuters / NASDAQ stock Market / Diebold / /

Country

Australia / United Kingdom / /

Currency

pence / /

/

Facility

The Australian National University / /

IndustryTerm

finance study / /

MarketIndex

NASDAQ Composite / NASDAQ 100 / /

Organization

Australian National University / Canberra / Research School of Finance / Actuarial Studies and Applied Statistics / International Congress / /

Position

rt / iid rt / /

PublishedMedium

Journal of Economic Dynamics and Control / Physica A / Journal of Econometrics / /

Technology

ICSS algorithms / Simulation / NPCPM algorithm / /

URL

www.mssanz.org.au/modsim2013 / /

SocialTag