Nonlinear dynamics of the Nikkei stock average futures

DOI10.1007/BF02425195zbMath1156.91447MaRDI QIDQ1000383

J. Martínez

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Statistical methods; economic indices and measures (91B82)

Cites Work

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• Estimating the dimension of a model
• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A test for independence based on the correlation dimension

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