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

Lisbeth la Cour

Research output: Contribution to journalJournal articleResearch

Original languageEnglish
JournalNeural Networks
Volume4
Issue number5
Pages (from-to)507-516
Number of pages10
ISSN0893-6080
Publication statusPublished - 1997

Keywords

  • High frequency data
  • Seasonal volatility
  • STR model of the conditional variance

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