Corpus ID: 113663

Maximum likelihood estimation and forecasting for GARCH, Markov switching, and locally stationary wavelet processes

@inproceedings{Xie2007MaximumLE,
  title={Maximum likelihood estimation and forecasting for GARCH, Markov switching, and locally stationary wavelet processes},
  author={Yingfu Xie},
  year={2007}
}
Financial time series are frequently met both in daily life and the scientific world. It is clearly of importance to study the financial time series, to understand the mechanism giving rise to the data, and/or predict the future values of a series. This thesis is dedicated to statistical inferences of a number of models for financial time series. Financial time series often exhibit time-varying and clustering volatility (conditional variance), which were not handled well by traditional models… Expand

Figures and Tables from this paper