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A Portrait of State-of-the-Art Research at the Technical University of LisbonFinancial Econometric Models

A Portrait of State-of-the-Art Research at the Technical University of Lisbon: Financial... [Four recent financial econometric models are discussed. The first aims to capture the volatility created by “chartists”; the second intends to model bounded random walks; the third involves a mechanism where the stationarity is volatility-induced, and the last one accommodates nonstationary diffusion integrated stochastic processes that can be made stationary by differencing.] http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png

A Portrait of State-of-the-Art Research at the Technical University of LisbonFinancial Econometric Models

Editors: Pereira, Manuel Seabra
Nicolau, João
Springer Journals — Jan 1, 2007
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18 pages

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Publisher
Springer Netherlands
Copyright
© Springer 2007
ISBN
978-1-4020-5689-5
Pages
23 –41
DOI
10.1007/978-1-4020-5690-1_2
Publisher site
See Chapter on Publisher Site

Abstract

[Four recent financial econometric models are discussed. The first aims to capture the volatility created by “chartists”; the second intends to model bounded random walks; the third involves a mechanism where the stationarity is volatility-induced, and the last one accommodates nonstationary diffusion integrated stochastic processes that can be made stationary by differencing.]

Published: Jan 1, 2007

Keywords: ARCH models; diffusion processes; bounded random walk; volatility-induced stationarity; second order stochastic differential equations

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