TAR models in financial time series
The performance of TAR models to analyse financial time series is evaluated. Empirically, and using data from the Brasilian stock market, the TAR model is compared with GARCH models via conditional moments.
| Autores Principales: | , |
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| Formato: | Artículo (Article) |
| Lenguaje: | Español (Spanish) |
| Publicado: |
Universidad Santo Tomás
2015
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| Materias: | |
| Acceso en línea: | http://hdl.handle.net/11634/24878 |