Modelización de series temporales financieras. Una recopilación

Font, Begoña

Publication:
Modelización de series temporales financieras. Una recopilación

dc.affiliation.dpto	UC3M. Departamento de Estadística	es
dc.contributor.author	Font, Begoña
dc.contributor.editor	Universidad Carlos III de Madrid. Departamento de Estadística	es
dc.date.accessioned	2009-02-16T13:14:47Z
dc.date.available	2009-02-16T13:14:47Z
dc.date.issued	1998-07
dc.description.abstract	This work reviews the main univariate and multivariate models proposed in the literature to represent the second moments dynamics. The paper starts with a description of stylized facts of financial time series and follows with a comparative study of different models available for modelling these characteristics. The main statistical properties of ARCH and stochastic volatility models are analyzed, as well as, the state space models with dynamics in the variance, Markow switching-variance models and microstructure models. Bayesian contributions to the field are also reviewed.	es
dc.format.mimetype	application/pdf
dc.identifier.uri	https://hdl.handle.net/10016/3664
dc.language.iso	spa	es
dc.relation.ispartofseries	Documentos de Trabajo. Estadística y Econometría	es
dc.relation.ispartofseries	1998-21-06	es
dc.rights	Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRights	open access
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.eciencia	Estadística
dc.subject.other	ARCH	es
dc.subject.other	Bayesian estimation	es
dc.subject.other	Financial time series	es
dc.subject.other	Heterocedasticy	es
dc.subject.other	Markow switching-variance models	es
dc.subject.other	Monte Carlo Markow Chains	es
dc.subject.other	Microstructure models	es
dc.subject.other	State space models	es
dc.subject.other	Stochastic volatility	es
dc.title	Modelización de series temporales financieras. Una recopilación	es
dc.type	working paper	*
dspace.entity.type	Publication