Titlebook: Discrete Time Series, Processes, and Applications in Finance; Gilles Zumbach Book 2013 Springer-Verlag Berlin Heidelberg 2013 91B84, 91B70

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Logarithmic Versus Relative Random Walks,zed, showing that both definitions have first a square root of time diffusion phase, followed by an exponential grow of the variance. Finally, the implications of the return definitions with respect to the skewness is explored, showing that the relative return definition is compatible with no skew.

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Book 2013l world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts. This book presents a survey of the empirical properties of financial time series, their descriptions by means of mathematical processes, and some implica

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Fred H. Geisler,William P. Coleman construction of models in finance and in physics, and the points that set this book apart from the existing literature. Finally, a companion web site is introduced. This site presents much more statistics and graphs for a deeper analysis of the empirical time series and processes.

COKE

https://doi.org/10.1007/978-0-387-77893-8annualizes systematically the derived quantities in order to easily compare statistics across time horizons. The definitions of the average, expectation, and histogram complete the set of basic tools needed for the empirical analysis.

CLEAR

Flávio E. Nácul,John M. O’DonnellIn particular, the cross-correlation between volatilities at different time horizons gives a characteristic signature of the heteroscedasticity, which emphasizes the (non)invariance with respect to the reversal of the time direction.

CLEAR

Sneeta Takhar M.D.,Myer H. Rosenthal M.D.hmark for the subsequent analysis of the processes. For this set of FX rates, they show in an informal way the regularities and variability in the statistics. For the processes studied in the following chapter, the mug shots will give a convenient summary of the statistical properties that need to be reproduced.

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