Financial Time Series -Recent Trends in Econometrics

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Abstract

The paper points to a coverage of the latest research techniques and findings relating to the econometric analysis of financial markets. It contains a wealth of new materials reflecting the developments during the last decade or so. Particular attention is paid to the wide range of nonlinear models that are used to analyze financial data observed at high frequencies and to the long memory characteristics found in financial time series. There is also a discussion, briefly, of the treatment of volatility, chaos, the Fed model, stochastic estimation and Bayesian estimation, the Fed model and tail dependent time series models.

References

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Amaresh Das. 2013. "Financial Time Series -Recent Trends in Econometrics". Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 13 (GJMBR Volume 13 Issue 11 (C5)).

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords
Classification
GJMBR-C Classification JEL Code: F39
B23
Version of record

v1.2

Issue date
April 4, 2013

Language
English
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Financial Time Series -Recent Trends in Econometrics

Amaresh Das
Amaresh Das