One-step Prediction of Financial Time Series
نویسندگان
چکیده
منابع مشابه
Modelling and Prediction of Financial Time Series
We consider statistical aspects of the modelling and prediction theory of time series in one and many dimensions. We discuss Lévy-based and general models, and the stationary and non-stationary cases. Our starting point is the recent pair of surveys, Szegö’s theorem and its probabilistic descendants and Multivariate prediction and matrix Szegö theory, by this author.
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 1998
ISSN: 1556-5068
DOI: 10.2139/ssrn.856985