Nonlinear Modelling of High Frequency Financial Time Series (Financial Economics and Quantitative Analysis Series) Год выпуска: 0Автор: Christian L. Dunis, Bin ZhouИздательство: Страниц: 0ISBN: 0471974641Описание In the competitive and risky environment of todays financial markets, daily prices and models based upon low frequency price series data do not provide the level of accuracy required by traders and a growing number of risk managers. To improve results, more and more researchers and practitioners are turning to high frequency data. Nonlinear Modelling of High Frequency Financial Time Series presents the latest developments and views of leading international researchers and market practitioners, in modelling high frequency data in finance. Combining both nonlinear modelling and intraday data for financial markets, the editors provide a fascinating foray into this extremely popular discipline. This book evolves around four major themes. The first introductory section focuses on high frequency financial data. The second part examines the exact nature of the time series considered: several linearity tests are presented and applied and their modelling implications assessed. The third and...
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