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Recent Advances and Trends in Nonparametric Statistics
Volumn , Issue , 2003, Pages 335-347
A normalizing and variance-stabilizing transformation for financial time series
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EID: 84902233340     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1016/B978-044451378-6/50022-3     Document Type: Chapter
Times cited : (15)
References (7)
  • 1
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    • Bachelier L. Theory of Speculation. The Random Character of Stock Market Prices 1964, 17-78. MIT Press, Cambridge, Mass. P.H. Cootner (Ed.).
    • (1964) The Random Character of Stock Market Prices , pp. 17-78
    • Bachelier, L.1
  • 2
    • 34848900983 scopus 로고
    • ARCH modelling in finance: a review of theory and empirical evidence
    • Bollerslev T., Chou R., Kroner K. ARCH modelling in finance: a review of theory and empirical evidence. J. Econometrics 1992, 52:5-60.
    • (1992) J. Econometrics , vol.52 , pp. 5-60
    • Bollerslev, T.1    Chou, R.2    Kroner, K.3
  • 3
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation
    • Engle R. Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation. Econometrica 1982, 50:987-1008.
    • (1982) Econometrica , vol.50 , pp. 987-1008
    • Engle, R.1
  • 4
    • 0002528209 scopus 로고
    • The behaviour of stock market prices
    • Fama E.F. The behaviour of stock market prices. J. Business 1965, 38:34-105.
    • (1965) J. Business , vol.38 , pp. 34-105
    • Fama, E.F.1
  • 5
    • 0001504360 scopus 로고
    • The variation of certain speculative prices
    • Mandelbrot B. The variation of certain speculative prices. J. Business 1963, 36:394-419.
    • (1963) J. Business , vol.36 , pp. 394-419
    • Mandelbrot, B.1
  • 6
    • 0000641348 scopus 로고
    • Conditional heteroscedasticity in asset returns: a new approach
    • Nelson D. Conditional heteroscedasticity in asset returns: a new approach. Econometrica 1991, 59:347-370.
    • (1991) Econometrica , vol.59 , pp. 347-370
    • Nelson, D.1
  • 7
    • 0001790102 scopus 로고    scopus 로고
    • Statistical aspects of ARCH and stochastic volatility
    • Chapman & Hall, London, D.R. Cox, D.V. Hinkley, O.E. Barndorff-Nielsen (Eds.)
    • Shephard N. Statistical aspects of ARCH and stochastic volatility. Time Series Models in Econometrics, Finance and Other Fields 1996, Chapman & Hall, London. D.R. Cox, D.V. Hinkley, O.E. Barndorff-Nielsen (Eds.).
    • (1996) Time Series Models in Econometrics, Finance and Other Fields
    • Shephard, N.1

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