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S&P 500
Box-Cox transformation
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Higher-order dependence
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conditional heteroskedasticity
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exponential GARCH
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higher-order dependence
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logarithmic GARCH
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mixture of normal distributions
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nonlinear time series
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Rydén, Tobias
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Teräsvirta, Timo
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Åsbrink, Stefan
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Economics Institute for Research (SIR), Handelshögskolan i Stockholm
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SSE/EFI Working Paper Series in Economics and Finance
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Stylized Facts of Daily Return Series and the Hidden Markov Model
Rydén, Tobias
;
Teräsvirta, Timo
;
Åsbrink, Stefan
-
Economics Institute for Research (SIR), …
-
1996
case, the temporal
higher-order
dependence
observed in return series may be described by a hidden Markov model. Such a …
Persistent link: https://www.econbiz.de/10005649155
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