Realized volatility, GARCH models & chaos theory
This study applies the BDS test to identify whether financial market data are driven by chaos theory and identified finacial time series for modelling that display non-random behavior. Subsequently, an empirical analysis of univariate and multivariate garch models are implemented for several financi...
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| Format: | text |
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Animo Repository
2014
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| Online Access: | https://animorepository.dlsu.edu.ph/faculty_research/6741 |
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| Institution: | De La Salle University |