Nonstationarities in Stock Returns
Author:
Publisher
MIT Press - Journals
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Link
http://www.mitpressjournals.org/doi/pdf/10.1162/0034653054638274
Reference24 articles.
1. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
2. Goodness of Fit Tests for Spectral Distributions
3. A Markov Model of Switching-Regime ARCH
4. Fitting time series models to nonstationary processes
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