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- W577118514 abstract "The statistical properties of three foreign exchange rate series are analyzed using a redefinition of the time scale to cope with the inherent seasonal heteroskedasticity. A conditional heteroskedastic autoregressive nonlinear (charn) model is estimated by local linear regression techniques. The results show significant nonlinearities for the mean function as well as for the variance function." @default.
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- W577118514 date "1996-01-01" @default.
- W577118514 modified "2023-09-27" @default.
- W577118514 title "A new method of volatility estimation and applications to foreign exchange rate in series" @default.
- W577118514 hasPublicationYear "1996" @default.
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