Modelling structural breaks, long memory and stock market volatility: an overview. (English) Zbl 1335.00139
Summary: The main aim of this volume is to present key recent developments in the fields of modelling structural breaks, and the analysis of long memory and stock market volatility.
From the text: This special annals-issue of the Journal of Econometrics contains a collection of papers from the conference on “Long memory, structural breaks and stock market volatility”, organized by us in London at the Cass Business School from the 5th to the 7th of December 2002.
From the text: This special annals-issue of the Journal of Econometrics contains a collection of papers from the conference on “Long memory, structural breaks and stock market volatility”, organized by us in London at the Cass Business School from the 5th to the 7th of December 2002.
MSC:
| 00B25 | Proceedings of conferences of miscellaneous specific interest |
| 62-06 | Proceedings, conferences, collections, etc. pertaining to statistics |
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
| 91B84 | Economic time series analysis |
| 91G70 | Statistical methods; risk measures |
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