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Stochastic modeling of security returns: Evidence from the Helsinki stock exchange

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Publication:1197921
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DOI10.1016/0377-2217(92)90295-KzbMath0825.90224MaRDI QIDQ1197921

John Hatem, G. Geoffrey Booth, Paavo Yli-Olli, Jlkka Virtanen

Publication date: 16 January 1993

Published in: European Journal of Operational Research (Search for Journal in Brave)



Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)




Cites Work

  • Unnamed Item
  • Diagnostic testing and evaluation of maximum likelihood models
  • Generalized autoregressive conditional heteroscedasticity
  • DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
  • Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
  • Portfolio Analysis in a Stable Paretian Market
  • Bayesian analysis of a three-component hierarchical design model
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