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.


Normal Approximation GARCH Model Bootstrap Approximation Bootstrap Technique Financial Time Series 
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© Vieweg+Teubner | GWV Fachverlage GmbH 2010

Authors and Affiliations

  • Kenichi Shimizu

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