[R-SIG-Finance] Models Choosing
ezivot at u.washington.edu
Sun Aug 10 18:42:28 CEST 2008
I suggest you read the book Nonlinear models in Empirical Finance by Franses
and van Dijk. All of the answers to your questions are there.
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Hsiao-nan
Sent: Sunday, August 10, 2008 1:18 AM
Subject: [R-SIG-Finance] Models Choosing
I have a time series data, which has obviously structure switching property.
Now I want to use a model to capture its characteristics and find all
influencing factors, then which model should I choose?
Also, what!/s the difference when a stochastic model, a GARCH model and a
Markov-Switching model is used to describe the time series? And what!/s the
most important when I choose from these models? Is there a transformation
mechanism between these model?
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