 Nonlinear Modelling of High Frequency Financial Time Series
ISBN: 978-0-471-97464-2
Hardcover
332 pages
October 1998
US $180.00
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HIGH FREQUENCY MODELS IN FINANCE: MOTIVATIONS AND THEORETICAL ISSUES.
Modelling with High Frequency Data: A Growing Interest for Financial Economists and Fund Managers (M. Gavridis).
High Frequency Foreign Exchange Rates: Price Behavior Analysis and 'True Price' Models (J. Moody & L. Wu).
DETECTING NONLINEARITIES IN HIGH FREQUENCY DATA: EMPIRICAL TESTS AND MODELLING IMPLICATIONS.
Testing Linearity with Information-Theoretic Statistics and the Bootstrap (F. Acosta).
Testing for Linearity: A Frequency Domain Approach (J. Drunat, et al.).
Stochastic or Chaotic Dynamics in High Frequency Financial Data (D. Guégan & L. Mercier).
F-consistency, De-volatization and Normalization of High Frequency Financial Data (B. Zhou).
PARAMETRIC MODELS FOR NONLINEAR FINANCIAL TIME SERIES.
High Frequency Financial Time Series Data: Some Stylized Facts and Models of Stochastic Volatility (E. Ghysels, et al.).
Modelling Short-term Volatility with GARCH and HARCH Models (M. Dacorogna, et al.).
High Frequency Switching Regimes: A Continuous-time Threshold Process (R. Dacco' & S. Satchell).
Modelling Burst Phenomena: Bilinear and Autoregressive Exponential Models (J. Drunat, et al.).
NON-PARAMETRIC MODELS FOR NONLINEAR FINANCIAL TIME SERIES.
Application of Neural Networks to Forecast High Frequency Data: Foreign Exchange (P. Bolland, et al.).
An Application of Genetic Algorithms to High Frequency Trading Models: A Case Study (C. Dunis, et al.).
High Frequency Exchange Rate Forecasting by the Nearest Neighbours Method (H. Alexandre, et al.).
Index.
Modelling with High Frequency Data: A Growing Interest for Financial Economists and Fund Managers (M. Gavridis).
High Frequency Foreign Exchange Rates: Price Behavior Analysis and 'True Price' Models (J. Moody & L. Wu).
DETECTING NONLINEARITIES IN HIGH FREQUENCY DATA: EMPIRICAL TESTS AND MODELLING IMPLICATIONS.
Testing Linearity with Information-Theoretic Statistics and the Bootstrap (F. Acosta).
Testing for Linearity: A Frequency Domain Approach (J. Drunat, et al.).
Stochastic or Chaotic Dynamics in High Frequency Financial Data (D. Guégan & L. Mercier).
F-consistency, De-volatization and Normalization of High Frequency Financial Data (B. Zhou).
PARAMETRIC MODELS FOR NONLINEAR FINANCIAL TIME SERIES.
High Frequency Financial Time Series Data: Some Stylized Facts and Models of Stochastic Volatility (E. Ghysels, et al.).
Modelling Short-term Volatility with GARCH and HARCH Models (M. Dacorogna, et al.).
High Frequency Switching Regimes: A Continuous-time Threshold Process (R. Dacco' & S. Satchell).
Modelling Burst Phenomena: Bilinear and Autoregressive Exponential Models (J. Drunat, et al.).
NON-PARAMETRIC MODELS FOR NONLINEAR FINANCIAL TIME SERIES.
Application of Neural Networks to Forecast High Frequency Data: Foreign Exchange (P. Bolland, et al.).
An Application of Genetic Algorithms to High Frequency Trading Models: A Case Study (C. Dunis, et al.).
High Frequency Exchange Rate Forecasting by the Nearest Neighbours Method (H. Alexandre, et al.).
Index.
