Volatility estimators for FOREX futures using standardized time series.
John W. Dalle MollePublished in: CIFEr (1997)
Keyphrases
- standardized time series
- steady state simulation
- exchange rate
- financial markets
- central limit theorem
- complex systems
- stock price
- stochastic process
- steady state
- foreign exchange
- long run
- financial time series
- stock market
- mild assumptions
- financial crisis
- chinese stock market
- stochastic processes
- historical data
- probability distribution
- dynamic programming
- stock index futures
- markov chain