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Nonlinear time series analysis with applications to foreign exchange rate volatility ; with 29 tables

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InhaltsverzeichnisIntroduction.Modelling Volatility of Financial Time Series.Nonlinear Time Series Analysis.ARCH Models and Extensions.Nonparametric and Semiparametric Models.Conclusions and Outlook.

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Nonlinear time series analysis with applications to foreign exchange rate volatility ; with 29 tables, Christian M. Hafner

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1997
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