Browsing by Subject "Financial returns"
Now showing items 1-3 of 3
-
Article
Financial time series
(2009)The evolution of financial markets is a complicated real-world phenomenon that ranks at the top in terms of difficulty of modeling and/or prediction. One reason for this difficulty is the well-documented nonlinearity that ...
-
Article
Financial time series and volatility prediction using NoVaS transformations
(2008)We extend earlier work on the NoVaS transformation approach introduced by Politis (2003a, 2003b). The proposed approach is model-free and especially relevant when making forecasts in the context of model uncertainty and ...
-
Article
Quality control for structural credit risk models
(2008)Over the last four decades, a large number of structural models have been developed to estimate and price credit risk. The focus of the paper is on a neglected issue pertaining to fundamental shifts in the structural ...