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The threshold approach in volatility modelling
Wai Keung LI
Department of Mathematics and Information Technology (MIT)
Research output
:
Chapter in Book/Report/Conference proceeding
›
Chapters
3
Citations (Scopus)
Overview
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Keyphrases
Autoregression Model
33%
Brief Survey
33%
Copyright
33%
Financial Time Series
33%
Threshold Approach
100%
Threshold Autoregression
33%
Volatility Changes
33%
Volatility Modelling
100%
World Scientific Publishing
33%
Economics, Econometrics and Finance
Autoregression
50%
Time Series
50%
Volatility
100%
Mathematics
Autoregression
100%
Statistics
100%