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João Nicolau (2007)
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[Four recent financial econometric models are discussed. The first aims to capture the volatility created by “chartists”; the second intends to model bounded random walks; the third involves a mechanism where the stationarity is volatility-induced, and the last one accommodates nonstationary diffusion integrated stochastic processes that can be made stationary by differencing.]
Published: Jan 1, 2007
Keywords: ARCH models; diffusion processes; bounded random walk; volatility-induced stationarity; second order stochastic differential equations
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