Nonlinear time series analysis with applications to foreign exchange rate volatility ; with 29 tables:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | German |
| Veröffentlicht: |
Heidelberg u.a.
Physica-Verl.
1997
|
| Schriftenreihe: | Contributions to economics
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIX, 222 S. graph. Darst. |
| ISBN: | 379081041X |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV011587875 | ||
| 003 | DE-604 | ||
| 005 | 19971222 | ||
| 007 | t | ||
| 008 | 971013s1997 gw d||| m||| 00||| ger d | ||
| 016 | 7 | |a 951358839 |2 DE-101 | |
| 020 | |a 379081041X |c kart. : DM 85.00 |9 3-7908-1041-X | ||
| 035 | |a (OCoLC)75780968 | ||
| 035 | |a (DE-599)BVBBV011587875 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a ger | |
| 044 | |a gw |c DE | ||
| 049 | |a DE-12 |a DE-521 | ||
| 050 | 0 | |a HG3823.H34 1997 | |
| 082 | 0 | |a 332.4/5/015118 21 | |
| 082 | 0 | |a 332.4/5/015118 |2 21 | |
| 084 | |a QH 237 |0 (DE-625)141552: |2 rvk | ||
| 084 | |a QM 331 |0 (DE-625)141778: |2 rvk | ||
| 084 | |a 17 |2 sdnb | ||
| 084 | |a 27 |2 sdnb | ||
| 100 | 1 | |a Hafner, Christian M. |d 1967- |e Verfasser |0 (DE-588)115629793 |4 aut | |
| 245 | 1 | 0 | |a Nonlinear time series analysis with applications to foreign exchange rate volatility ; with 29 tables |c Christian M. Hafner |
| 264 | 1 | |a Heidelberg u.a. |b Physica-Verl. |c 1997 | |
| 300 | |a XIX, 222 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Contributions to economics | |
| 502 | |a Zugl.: Berlin, Humboldt-Univ., Diss., 1996 | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Foreign exchange rates -- Mathematical models | |
| 650 | 4 | |a Time-series analysis | |
| 650 | 0 | 7 | |a Wechselkurs |0 (DE-588)4064921-0 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Wechselkursänderung |0 (DE-588)4129405-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kapitalmarkttheorie |0 (DE-588)4137411-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a ARCH-Prozess |0 (DE-588)4346437-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Volatilität |0 (DE-588)4268390-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Nichtlineare Zeitreihenanalyse |0 (DE-588)4276267-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Nichtparametrisches Modell |0 (DE-588)4434654-2 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Nichtlineare Zeitreihenanalyse |0 (DE-588)4276267-4 |D s |
| 689 | 0 | 1 | |a Volatilität |0 (DE-588)4268390-7 |D s |
| 689 | 0 | 2 | |a ARCH-Prozess |0 (DE-588)4346437-3 |D s |
| 689 | 0 | 3 | |a Nichtparametrisches Modell |0 (DE-588)4434654-2 |D s |
| 689 | 0 | 4 | |a Kapitalmarkttheorie |0 (DE-588)4137411-3 |D s |
| 689 | 0 | 5 | |a Wechselkurs |0 (DE-588)4064921-0 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Wechselkursänderung |0 (DE-588)4129405-1 |D s |
| 689 | 1 | 1 | |a Nichtlineare Zeitreihenanalyse |0 (DE-588)4276267-4 |D s |
| 689 | 1 | |5 DE-604 | |
| 856 | 4 | 2 | |m DNB Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007804766&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-007804766 | |
Datensatz im Suchindex
| _version_ | 1807773471652970496 |
|---|---|
| adam_text |
CONTENTS
PREFACE
.
IX
LIST
OF
TABLES
.
XV
LIST
OF
FIGURES
.
XVII
1
INTRODUCTION
.
1
2
MODELLING
VOLATILITY
OF
FINANCIAL
TIME
SERIES
.
7
2.1
RISK
AND
VOLATILITY
.
7
2.1.1
RISK
AND
VOLATILITY
IN
THE
CAPM
.
7
2.1.2
GENERALIZED
RISK
.
10
2.2
STOCK
RETURNS
.
13
2.3
INTEREST
RATES
.
19
2.4
FOREIGN
EXCHANGE
RATES
.
22
2.4.1
THE
FX
MARKET
.
22
2.4.2
HIGH
FREQUENCY
DATA
.
22
2.4.3
THE
CHEMICAL
BANK
DATA
SETS
.
24
2.4.4
THE
DATA
SET
HFDF93
.
24
2.4.5
SOME
DEFINITIONS
.
26
2.4.6
SEASONAL
VOLATILITY
AND
THE
TIME
SCALE
.
27
2.4.7
PROPERTIES
OF
THE
FX
RATES
IN
I?-TIME
.
38
2.4.8
THE
ROLE
OF
BID-ASK
SPREADS
.
45
2.4.9
HOW
ARE
MAJOR
JUMPS
RELATED
TO
NEWS?
.
46
2.5
CONCLUSIONS
.
50
3
NONLINEAR
TIME
SERIES
ANALYSIS
.
51
3.1
INTRODUCTION
.
51
3.2
DETERMINISTIC
SYSTEMS
AND
CHAOS
.
53
3.3
PARAMETRIC
STOCHASTIC
MODELS
.
57
3.3.1
THRESHOLD
AUTOREGRESSIVE
MODELS
.
58
3.3.2
EXPONENTIAL
AUTOREGRESSIVE
MODELS
.
59
3.3.3
BILINEAR
MODELS
.
59
XII
CONTENTS
3.3.4
MODELS
WITH
AUTOREGRESSIVE
CONDITIONAL
HETEROSKEDASTICITY
.
61
3.3.5
STOCHASTIC
VOLATILITY
MODELS
.
62
3.3.6
MARKOV
SWITCHING
REGIMES
.
64
3.3.7
PARAMETER
ESTIMATION
.
65
3.4
NONPARAMETRIC
AND
SEMIPARAMETRIC
MODELS
.
65
3.4.1
LOCAL
CONDITIONAL
MEAN
(MEDIAN)
ESTIMATION
.
67
3.4.2
NADARAYA-WATSON
ESTIMATION
.
67
3.4.3
LOCAL
POLYNOMIAL
ESTIMATION
.
69
3.4.4
^-NEAREST
NEIGHBOR
ESTIMATION
.
72
3.4.5
FUNCTIONAL
COEFFICIENT
AR
MODEL
.
72
3.4.6
NONLINEAR
ADDITIVE
AR
MODEL
.
74
3.4.7
PROJECTION
PURSUIT
MODEL
.
75
3.4.8
NEURAL
NETWORK
MODEL
.
76
3.5
TESTING
LINEARITY
.
77
3.5.1
LAGRANGE
MULTIPLIER
TESTS
AGAINST
AN
UNSPECIFIED
ALTERNATIVE
.
77
3.5.2
LAGRANGE
MULTIPLIER
TESTS
AGAINST
CONDITIONAL
HETEROSKEDASTICITY
.
78
3.5.3
PORTMANTEAU
TESTS
.
79
3.5.4
TESTS
AGAINST
THRESHOLD
NONLINEARITY
.
80
3.5.4.1
CUSUM
TEST
.
80
3.5.4.2
LIKELIHOOD
RATIO
TEST
.
81
3.5.4.3
TAR-F
TEST
.
81
3.5.5
NEW-F
TEST
.
81
3.5.6
BDS
TEST
.
82
3.5.7
NONPARAMETRIC
TESTS
.
82
3.6
NONLINEAR
PREDICTION
.
83
3.6.1
PARAMETRIC
APPROACHES
.
84
3.6.1.1
NUMERICAL
INTEGRATION
.
84
3.6.1.2
SIMULATION
.
85
3.6.2
NONPARAMETRIC
APPROACHES
.
86
3.6.2.1
DIRECT
KERNEL
SMOOTHER
.
86
3.6.2.2
MULTISTAGE
SMOOTHER
.
87
3.7
DIRECTIONALITY
AND
REVERSIBILITY
.
88
3.8
CONCLUSIONS
.
91
4
ARCH
MODELS
AND
EXTENSIONS
.
93
4.1
INTRODUCTION
.
93
4.2
STANDARD
ARCH
AND
GARCH
.
94
4.2.1
ARCH:
DEFINITION,
MOMENTS
AND
STATIONARITY
.
94
CONTENTS
XIII
4.2.2
ARCH:
ESTIMATION
.
95
4.2.3
GENERALIZED
ARCH
.
98
4.3
SPECIFICATION
OF
THE
CONDITIONAL
DISTRIBUTION
.
99
4.3.1
CONDITIONALLY
STUDENT
'
S
T
DISTRIBUTED
ERRORS
.
100
4.3.2
NONPARAMETRIC
ESTIMATION
OF
THE
CONDITIONAL
ERROR
DENSITY
.
101
4.4
PERSISTENCE
OF
VOLATILITY
.
102
4.4.1
INTEGRATED
GARCH
.
103
4.4.2
FRACTIONALLY
INTEGRATED
GARCH
.
104
4.5
ASYMMETRY
OF
VOLATILITY
.
105
4.5.1
EXPONENTIAL
GARCH
.
105
4.5.2
THRESHOLD
ARCH
MODELS
.
107
4.6
RISK
AND
RETURN
.
108
4.7
ASYMMETRY
AND
PERSISTENCE
OF
THE
FX
RATES
.
108
4.8
NEWS
IMPACT
FUNCTIONS
.
112
4.9
TEMPORAL
(DIS-)AGGREGATION
.
117
4.10
MARKET
COMPONENTS
AND
HETEROGENEOUS
ARCH
.
121
4.11
DIRECTIONALITY
OF
ARCH
PROCESSES
.
123
4.12
CONCLUSIONS
.
126
5
NONPARAMETRIC
AND
SEMIPARAMETRIC
MODELS
.127
5.1
INTRODUCTION
.
127
5.2
THE
CHARN
MODEL
.
128
5.2.1
KERNEL
ESTIMATES
.
129
5.2.1.1
KERNEL
FUNCTIONS
.
129
5.2.1.2
NADARAYA-WATSON
ESTIMATOR
.
130
5.2.1.3
LOCAL
POLYNOMIAL
ESTIMATOR
.
131
5.2.2
BANDWIDTH-SELECTION
.
132
5.2.3
UNIFORM
CONFIDENCE
BANDS
.
134
5.2.4
FX
RESULTS
.
135
5.3
HIGHER
ORDER
CONDITIONAL
MOMENTS
AND
STOCHASTIC
VOLATILITY
144
5.4
MULTIPLICATIVE
NONPARAMETRIC
ARCH
MODELS
.
153
5.5
NONPARAMETRIC
GENERALIZED
ARCH
MODELS
.
158
5.5.1
ESTIMATES
OF
THE
NEWS
IMPACT
CURVE
AND
AUTOREGRESSION
COEFFICIENT
.
159
5.5.2
A
SIMULATION
STUDY
.
161
5.5.3
FX
RESULTS
.
164
5.6
CONCLUSIONS
.
168
6
CONCLUSIONS
AND
OUTLOOK
.
173
XIV
CONTENTS
A
THE
MOMENTS
OF
LOG
|^
T
|
.177
B
TIMES.LIB
-
A
TIME
SERIES
LIBRARY
FOR
XPLORE
4
.179
REFERENCES
.195
AUTHOR
INDEX
.
211
SUBJECT
INDEX
.
215 |
| any_adam_object | 1 |
| author | Hafner, Christian M. 1967- |
| author_GND | (DE-588)115629793 |
| author_facet | Hafner, Christian M. 1967- |
| author_role | aut |
| author_sort | Hafner, Christian M. 1967- |
| author_variant | c m h cm cmh |
| building | Verbundindex |
| bvnumber | BV011587875 |
| callnumber-first | H - Social Science |
| callnumber-label | HG3823 |
| callnumber-raw | HG3823.H34 1997 |
| callnumber-search | HG3823.H34 1997 |
| callnumber-sort | HG 43823 H34 41997 |
| callnumber-subject | HG - Finance |
| classification_rvk | QH 237 QM 331 |
| ctrlnum | (OCoLC)75780968 (DE-599)BVBBV011587875 |
| dewey-full | 332.4/5/01511821 332.4/5/015118 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.4/5/015118 21 332.4/5/015118 |
| dewey-search | 332.4/5/015118 21 332.4/5/015118 |
| dewey-sort | 3332.4 15 515118 221 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>00000nam a2200000 c 4500</leader><controlfield tag="001">BV011587875</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">19971222</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">971013s1997 gw d||| m||| 00||| ger d</controlfield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">951358839</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">379081041X</subfield><subfield code="c">kart. : DM 85.00</subfield><subfield code="9">3-7908-1041-X</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)75780968</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV011587875</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">ger</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">gw</subfield><subfield code="c">DE</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-12</subfield><subfield code="a">DE-521</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG3823.H34 1997</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.4/5/015118 21</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.4/5/015118</subfield><subfield code="2">21</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QH 237</subfield><subfield code="0">(DE-625)141552:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QM 331</subfield><subfield code="0">(DE-625)141778:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">17</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">27</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Hafner, Christian M.</subfield><subfield code="d">1967-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)115629793</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Nonlinear time series analysis with applications to foreign exchange rate volatility ; with 29 tables</subfield><subfield code="c">Christian M. Hafner</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Heidelberg u.a.</subfield><subfield code="b">Physica-Verl.</subfield><subfield code="c">1997</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XIX, 222 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Contributions to economics</subfield></datafield><datafield tag="502" ind1=" " ind2=" "><subfield code="a">Zugl.: Berlin, Humboldt-Univ., Diss., 1996</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Mathematisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Foreign exchange rates -- Mathematical models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Time-series analysis</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Wechselkurs</subfield><subfield code="0">(DE-588)4064921-0</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Wechselkursänderung</subfield><subfield code="0">(DE-588)4129405-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kapitalmarkttheorie</subfield><subfield code="0">(DE-588)4137411-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">ARCH-Prozess</subfield><subfield code="0">(DE-588)4346437-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Volatilität</subfield><subfield code="0">(DE-588)4268390-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Nichtlineare Zeitreihenanalyse</subfield><subfield code="0">(DE-588)4276267-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Nichtparametrisches Modell</subfield><subfield code="0">(DE-588)4434654-2</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4113937-9</subfield><subfield code="a">Hochschulschrift</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Nichtlineare Zeitreihenanalyse</subfield><subfield code="0">(DE-588)4276267-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Volatilität</subfield><subfield code="0">(DE-588)4268390-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">ARCH-Prozess</subfield><subfield code="0">(DE-588)4346437-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="3"><subfield code="a">Nichtparametrisches Modell</subfield><subfield code="0">(DE-588)4434654-2</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="4"><subfield code="a">Kapitalmarkttheorie</subfield><subfield code="0">(DE-588)4137411-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="5"><subfield code="a">Wechselkurs</subfield><subfield code="0">(DE-588)4064921-0</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Wechselkursänderung</subfield><subfield code="0">(DE-588)4129405-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Nichtlineare Zeitreihenanalyse</subfield><subfield code="0">(DE-588)4276267-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">DNB Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007804766&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-007804766</subfield></datafield></record></collection> |
| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV011587875 |
| illustrated | Illustrated |
| indexdate | 2024-08-19T00:25:27Z |
| institution | BVB |
| isbn | 379081041X |
| language | German |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007804766 |
| oclc_num | 75780968 |
| open_access_boolean | |
| owner | DE-12 DE-521 |
| owner_facet | DE-12 DE-521 |
| physical | XIX, 222 S. graph. Darst. |
| publishDate | 1997 |
| publishDateSearch | 1997 |
| publishDateSort | 1997 |
| publisher | Physica-Verl. |
| record_format | marc |
| series2 | Contributions to economics |
| spelling | Hafner, Christian M. 1967- Verfasser (DE-588)115629793 aut Nonlinear time series analysis with applications to foreign exchange rate volatility ; with 29 tables Christian M. Hafner Heidelberg u.a. Physica-Verl. 1997 XIX, 222 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Contributions to economics Zugl.: Berlin, Humboldt-Univ., Diss., 1996 Mathematisches Modell Foreign exchange rates -- Mathematical models Time-series analysis Wechselkurs (DE-588)4064921-0 gnd rswk-swf Wechselkursänderung (DE-588)4129405-1 gnd rswk-swf Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf ARCH-Prozess (DE-588)4346437-3 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Nichtlineare Zeitreihenanalyse (DE-588)4276267-4 gnd rswk-swf Nichtparametrisches Modell (DE-588)4434654-2 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Nichtlineare Zeitreihenanalyse (DE-588)4276267-4 s Volatilität (DE-588)4268390-7 s ARCH-Prozess (DE-588)4346437-3 s Nichtparametrisches Modell (DE-588)4434654-2 s Kapitalmarkttheorie (DE-588)4137411-3 s Wechselkurs (DE-588)4064921-0 s DE-604 Wechselkursänderung (DE-588)4129405-1 s DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007804766&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hafner, Christian M. 1967- Nonlinear time series analysis with applications to foreign exchange rate volatility ; with 29 tables Mathematisches Modell Foreign exchange rates -- Mathematical models Time-series analysis Wechselkurs (DE-588)4064921-0 gnd Wechselkursänderung (DE-588)4129405-1 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd ARCH-Prozess (DE-588)4346437-3 gnd Volatilität (DE-588)4268390-7 gnd Nichtlineare Zeitreihenanalyse (DE-588)4276267-4 gnd Nichtparametrisches Modell (DE-588)4434654-2 gnd |
| subject_GND | (DE-588)4064921-0 (DE-588)4129405-1 (DE-588)4137411-3 (DE-588)4346437-3 (DE-588)4268390-7 (DE-588)4276267-4 (DE-588)4434654-2 (DE-588)4113937-9 |
| title | Nonlinear time series analysis with applications to foreign exchange rate volatility ; with 29 tables |
| title_auth | Nonlinear time series analysis with applications to foreign exchange rate volatility ; with 29 tables |
| title_exact_search | Nonlinear time series analysis with applications to foreign exchange rate volatility ; with 29 tables |
| title_full | Nonlinear time series analysis with applications to foreign exchange rate volatility ; with 29 tables Christian M. Hafner |
| title_fullStr | Nonlinear time series analysis with applications to foreign exchange rate volatility ; with 29 tables Christian M. Hafner |
| title_full_unstemmed | Nonlinear time series analysis with applications to foreign exchange rate volatility ; with 29 tables Christian M. Hafner |
| title_short | Nonlinear time series analysis with applications to foreign exchange rate volatility ; with 29 tables |
| title_sort | nonlinear time series analysis with applications to foreign exchange rate volatility with 29 tables |
| topic | Mathematisches Modell Foreign exchange rates -- Mathematical models Time-series analysis Wechselkurs (DE-588)4064921-0 gnd Wechselkursänderung (DE-588)4129405-1 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd ARCH-Prozess (DE-588)4346437-3 gnd Volatilität (DE-588)4268390-7 gnd Nichtlineare Zeitreihenanalyse (DE-588)4276267-4 gnd Nichtparametrisches Modell (DE-588)4434654-2 gnd |
| topic_facet | Mathematisches Modell Foreign exchange rates -- Mathematical models Time-series analysis Wechselkurs Wechselkursänderung Kapitalmarkttheorie ARCH-Prozess Volatilität Nichtlineare Zeitreihenanalyse Nichtparametrisches Modell Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007804766&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT hafnerchristianm nonlineartimeseriesanalysiswithapplicationstoforeignexchangeratevolatilitywith29tables |