State dependent models of stock returns

DOI10.1016/0898-1221(92)90184-JzbMath0775.90084MaRDI QIDQ1202454

Phillip A. Braun

Publication date: 11 February 1993

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• Recursive estimation and time-series analysis. An introduction
• STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS
• A test for independence based on the correlation dimension