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Volatility and Time Series Econometrics: Essays in Honor of Robert Engle

Tim Bollerslev, Jeffrey Russell, and Mark Watson (eds)

Published in print:
2010
Published Online:
May 2010
ISBN:
9780199549498
eISBN:
9780191720567
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199549498.001.0001
Subject:
Economics and Finance, Econometrics

Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some of the leading academic researchers ... More


Are there discontinuities in financial prices?

Neil Shephard

in Celebrating Statistics: Papers in honour of Sir David Cox on his 80th birthday

Published in print:
2005
Published Online:
September 2007
ISBN:
9780198566540
eISBN:
9780191718038
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198566540.003.0012
Subject:
Mathematics, Probability / Statistics

This chapter explores whether there are discontinuities in financial price processes using daily data on the Japanese yen and United States dollar. It opens with a brief description of the data, ... More


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