Abstract
This chapter starts with some general comments on risk and volatility in financial markets. It gives several examples of financial time series and their peculiarities. Foreign exchange rates, the HFDF93 data set, and the time scale of high frequency data are described in more detail. The results will be used in subsequent chapters.
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© 1998 Springer-Verlag Berlin Heidelberg
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Hafner, C.M. (1998). Modelling Volatility of Financial Time Series. In: Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility. Contributions to Economics. Physica, Heidelberg. https://doi.org/10.1007/978-3-662-12605-9_2
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DOI: https://doi.org/10.1007/978-3-662-12605-9_2
Publisher Name: Physica, Heidelberg
Print ISBN: 978-3-7908-1041-7
Online ISBN: 978-3-662-12605-9
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