Statistical Models in Finance

Helgi Tómasson*

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

Original languageEnglish
Title of host publicationFinancial Surveillance
PublisherWiley Blackwell
Pages31-68
Number of pages38
ISBN (Electronic)9780470987179
ISBN (Print)9780470061886
DOIs
Publication statusPublished - 29 Feb 2008

Other keywords

  • Amplitude-dependent cycles and jump-like behaviour
  • Auto-regressive conditional heteroskedacity (ARCH) models
  • Auxiliary regression and double-length regression
  • Continuous-time models
  • Discrete-time approach in modelling
  • Independent standard pseudonormal random variables
  • Maximum-likelihood estimation
  • Minimum mean-square error prediction
  • Nonpredictable stochastic process
  • Threshold-auto-regressive (TAR) model

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