Estimation of asymmetrical volatility for asset prices: the simultaneous switching ARIMA approach

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Bibliographic Information

Title
"Estimation of asymmetrical volatility for asset prices: the simultaneous switching ARIMA approach"
Statement of Responsibility
Naoto Kunitomo and Seisho Sato
Publisher
  • 日本銀行金融研究所
Publication Year
  • [1996]
Book size
30 cm
Other Title
  • Discussion paper series. E
  • Discussion paper series

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Notes

Inculdes bibliographical references (p. 23-24)

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Details 詳細情報について

  • CRID
    1130282271678231552
  • NII Book ID
    BA33692424
  • Text Lang
    en
  • Country Code
    ja
  • Title Language Code
    en
  • Place of Publication
    • 東京
  • Data Source
    • CiNii Books
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