RT Generic
T1 Modelización de series temporales financieras. Una recopilación
A1 Font, Begoña
A2 Universidad Carlos III de Madrid. Departamento de Estadística, 
AB 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.
YR 1998
FD 1998-07
LK https://hdl.handle.net/10016/3664
UL https://hdl.handle.net/10016/3664
LA spa
DS e-Archivo
RD 4 may. 2024