Regime Shift Models as an Alternative to the Use of a 'Business Time Scale" for High Frequency Exchange Rate Data

Lisbeth la Cour

Regime Shift Models as an Alternative to the Use of a 'Business Time Scale" for High Frequency Exchange Rate Data

Økonomisk Institut

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning

Originalsprog	Engelsk
Tidsskrift	Neural Networks
Vol/bind	4
Udgave nummer	5
Sider (fra-til)	507-516
Antal sider	10
ISSN	0893-6080
Status	Udgivet - 1997

Emneord

High frequency data
Seasonal volatility
STR model of the conditional variance

Handle.net

Persistent link

Citationsformater

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author = "{la Cour}, Lisbeth",

year = "1997",

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T1 - Regime Shift Models as an Alternative to the Use of a 'Business Time Scale" for High Frequency Exchange Rate Data

AU - la Cour, Lisbeth

PY - 1997

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KW - Seasonal volatility

KW - STR model of the conditional variance

KW - High frequency data

KW - Seasonal volatility

KW - STR model of the conditional variance

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EP - 516

JO - Neural Networks

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