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Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility

  • Book
  • © 1998

Overview

Authors:
  1. Christian M. Hafner

    1. Institut für Statistik und Ökonometrie, Wirtschaftswissenschaftliche Fakultät, Humboldt-Universität zu Berlin, Berlin, Germany

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Part of the book series: Contributions to Economics (CE)

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Table of contents (6 chapters)

  1. Front Matter

    Pages i-xix
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  2. Introduction

    • Christian M. Hafner
    Pages 1-6

  3. Modelling Volatility of Financial Time Series

    • Christian M. Hafner
    Pages 7-50

  4. Nonlinear Time Series Analysis

    • Christian M. Hafner
    Pages 51-91

  5. ARCH Models and Extensions

    • Christian M. Hafner
    Pages 93-126

  6. Nonparametric and Semiparametric Models

    • Christian M. Hafner
    Pages 127-171

  7. Conclusions and Outlook

    • Christian M. Hafner
    Pages 173-176

  8. Back Matter

    Pages 177-222
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Keywords

Authors and Affiliations

  • Institut für Statistik und Ökonometrie, Wirtschaftswissenschaftliche Fakultät, Humboldt-Universität zu Berlin, Berlin, Germany

    Christian M. Hafner

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