Time Series with Stochastic Volatility

  • Jürgen Franke
  • Wolfgang Härdle
  • Christian M. Hafner
Part of the Universitext book series (UTX)

Abstract

In the previous chapters we have already indicated that volatility plays an important role in modelling financial systems and time series. Unlike the term structure, volatility is unobservable and thus must be estimated from the data.

Keywords

Covariance Eter Autocorrelation Dition Volatility 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  • Jürgen Franke
    • 1
  • Wolfgang Härdle
    • 2
  • Christian M. Hafner
    • 3
  1. 1.University of KaiserslauternKaiserslauternGermany
  2. 2.CASE-Center for Applied Statistics and EconomicsHumboldt-Universität zu BerlinBerlinGermany
  3. 3.Econometric Institute, Faculty of EconomicsErasmus University RotterdamRotterdamThe Netherlands

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