skip to content
Nonlinear modelling of high frequency financial time series Preview this item
ClosePreview this item
Checking...

Nonlinear modelling of high frequency financial time series

Author: Christian Dunis; Bin Zhou
Publisher: Chichester [England] ; New York : Wiley, ©1998.
Series: Series in financial economics and quantitative analysis.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

This text focuses on the issue of non-linear modelling of high frequency financial data. Non-linearity refers to situations in which there is a high degree of apparent randomness to the way in which  Read more...

Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy online

Links to this item

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Genre/Form: Modèles économétriques
Additional Physical Format: Online version:
Nonlinear modelling of high frequency financial time series.
Chichester [England] ; New York : Wiley, ©1998
(OCoLC)655075249
Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Christian Dunis; Bin Zhou
ISBN: 0471974641 9780471974642
OCLC Number: 37827440
Description: xxxi, 300 pages : illustrations ; 24 cm.
Contents: pt. I. High Frequency Models in Finance: Motivations and Theoretical Issues. 1. Modelling with High Frequency Data: A Growing Interest for Financial Economists and Fund Managers / Michael Gavridis. 2. High Frequency Foreign Exchange Rates: Price Behavior Analysis and 'True Price' Models / John Moody and Lizhong Wu --
pt. II. Detecting Nonlinearities in High Frequency Data: Empirical Tests and Modelling Implications. 3. Testing Linearity with Information-Theoretic Statistics and the Bootstrap / F.M. Aparicio Acosta. 4. Testing for Linearity: A Frequency Domain Approach / Jerome Drunat, Gilles Dufrenot and Laurent Mathieu. 5. Stochastic or Chaotic Dynamics in High Frequency Financial Data / Dominique Guegan and Ludovic Mercier.
Series Title: Series in financial economics and quantitative analysis.
Responsibility: edited by Christian Dunis and Bin Zhou.
More information:

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/37827440> # Nonlinear modelling of high frequency financial time series
    a schema:Book, schema:CreativeWork ;
    library:oclcnum "37827440" ;
    library:placeOfPublication <http://dbpedia.org/resource/New_York_City> ; # New York
    library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/355984064#Place/chichester_england> ; # Chichester England
    library:placeOfPublication <http://id.loc.gov/vocabulary/countries/enk> ;
    schema:about <http://dewey.info/class/332.015195/e21/> ;
    schema:about <http://id.worldcat.org/fast/1151190> ; # Time-series analysis
    schema:about <http://experiment.worldcat.org/entity/work/data/355984064#Topic/finances> ; # Finances
    schema:about <http://experiment.worldcat.org/entity/work/data/355984064#Topic/serie_chronologique> ; # Série chronologique
    schema:about <http://experiment.worldcat.org/entity/work/data/355984064#Topic/bedrijfsfinanciering> ; # Bedrijfsfinanciering
    schema:about <http://experiment.worldcat.org/entity/work/data/355984064#Topic/finances_modeles_econometriques> ; # Finances--Modèles économétriques
    schema:about <http://experiment.worldcat.org/entity/work/data/355984064#Topic/series_chronologiques> ; # Séries chronologiques
    schema:about <http://id.loc.gov/authorities/subjects/sh2008120472> ; # Finance--Econometric models
    schema:about <http://experiment.worldcat.org/entity/work/data/355984064#Topic/tijdreeksen> ; # Tijdreeksen
    schema:about <http://id.worldcat.org/fast/924377> ; # Finance--Econometric models
    schema:bookFormat bgn:PrintBook ;
    schema:contributor <http://viaf.org/viaf/7463295> ; # Christian Dunis
    schema:contributor <http://viaf.org/viaf/45146635656241982480> ; # Bin Zhou
    schema:copyrightYear "1998" ;
    schema:datePublished "1998" ;
    schema:exampleOfWork <http://worldcat.org/entity/work/id/355984064> ;
    schema:inLanguage "en" ;
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/355984064#Series/series_in_financial_economics_and_quantitative_analysis> ; # Series in financial economics and quantitative analysis.
    schema:isSimilarTo <http://www.worldcat.org/oclc/655075249> ;
    schema:name "Nonlinear modelling of high frequency financial time series"@en ;
    schema:productID "37827440" ;
    schema:publication <http://www.worldcat.org/title/-/oclc/37827440#PublicationEvent/chichester_england_new_york_wiley_1998> ;
    schema:publisher <http://experiment.worldcat.org/entity/work/data/355984064#Agent/wiley> ; # Wiley
    schema:url <http://swbplus.bsz-bw.de/bsz06508120xcov.htm> ;
    schema:url <http://catdir.loc.gov/catdir/toc/onix03/97044713.html> ;
    schema:workExample <http://worldcat.org/isbn/9780471974642> ;
    umbel:isLike <http://bnb.data.bl.uk/id/resource/GB9843752> ;
    wdrs:describedby <http://www.worldcat.org/title/-/oclc/37827440> ;
    .


Related Entities

<http://dbpedia.org/resource/New_York_City> # New York
    a schema:Place ;
    schema:name "New York" ;
    .

<http://experiment.worldcat.org/entity/work/data/355984064#Place/chichester_england> # Chichester England
    a schema:Place ;
    schema:name "Chichester England" ;
    .

<http://experiment.worldcat.org/entity/work/data/355984064#Series/series_in_financial_economics_and_quantitative_analysis> # Series in financial economics and quantitative analysis.
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/37827440> ; # Nonlinear modelling of high frequency financial time series
    schema:name "Series in financial economics and quantitative analysis." ;
    schema:name "Series in financial economics and quantitative analysis" ;
    .

<http://experiment.worldcat.org/entity/work/data/355984064#Topic/bedrijfsfinanciering> # Bedrijfsfinanciering
    a schema:Intangible ;
    schema:name "Bedrijfsfinanciering"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/355984064#Topic/finances_modeles_econometriques> # Finances--Modèles économétriques
    a schema:Intangible ;
    schema:name "Finances--Modèles économétriques"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/355984064#Topic/serie_chronologique> # Série chronologique
    a schema:Intangible ;
    schema:name "Série chronologique"@fr ;
    .

<http://experiment.worldcat.org/entity/work/data/355984064#Topic/series_chronologiques> # Séries chronologiques
    a schema:Intangible ;
    schema:name "Séries chronologiques"@en ;
    .

<http://id.loc.gov/authorities/subjects/sh2008120472> # Finance--Econometric models
    a schema:Intangible ;
    schema:name "Finance--Econometric models"@en ;
    .

<http://id.worldcat.org/fast/1151190> # Time-series analysis
    a schema:Intangible ;
    schema:name "Time-series analysis"@en ;
    .

<http://id.worldcat.org/fast/924377> # Finance--Econometric models
    a schema:Intangible ;
    schema:name "Finance--Econometric models"@en ;
    .

<http://viaf.org/viaf/45146635656241982480> # Bin Zhou
    a schema:Person ;
    schema:birthDate "1956" ;
    schema:familyName "Zhou" ;
    schema:givenName "Bin" ;
    schema:name "Bin Zhou" ;
    .

<http://viaf.org/viaf/7463295> # Christian Dunis
    a schema:Person ;
    schema:familyName "Dunis" ;
    schema:givenName "Christian" ;
    schema:name "Christian Dunis" ;
    .

<http://worldcat.org/isbn/9780471974642>
    a schema:ProductModel ;
    schema:isbn "0471974641" ;
    schema:isbn "9780471974642" ;
    .

<http://www.worldcat.org/oclc/655075249>
    a schema:CreativeWork ;
    rdfs:label "Nonlinear modelling of high frequency financial time series." ;
    schema:description "Online version:" ;
    schema:isSimilarTo <http://www.worldcat.org/oclc/37827440> ; # Nonlinear modelling of high frequency financial time series
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.