Abstract
In financial time series analysis it is difficult to handle the observed discrete time asset price data P t directly, because P t are often nonstationary and highly correlated (Figure 1.1 (a)). Thus it is usual to analyse the rate of return on the financial instrument, which is generally stationary and uncorrelated.
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© 2010 Vieweg+Teubner | GWV Fachverlage GmbH
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Shimizu, K. (2010). Introduction. In: Bootstrapping Stationary ARMA-GARCH Models. Vieweg+Teubner. https://doi.org/10.1007/978-3-8348-9778-7_1
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DOI: https://doi.org/10.1007/978-3-8348-9778-7_1
Publisher Name: Vieweg+Teubner
Print ISBN: 978-3-8348-0992-6
Online ISBN: 978-3-8348-9778-7
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