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Introduction

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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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