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Financial Econometric Models

Some Contributions to the Field

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A Portrait of State-of-the-Art Research at the Technical University of Lisbon

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Abstract

Four recent financial econometric models are discussed. The first aims to capture the volatility created by “chartists”; the second intends to model bounded random walks; the third involves a mechanism where the stationarity is volatility-induced, and the last one accommodates nonstationary diffusion integrated stochastic processes that can be made stationary by differencing.

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Authors and Affiliations

  1. Instituto Superior de Economia e Gestão, Universidade Técnica de Lisboa, Rua do Quelhas 6, 1200-781, Lisboa, Portugal

    João Nicolau

Authors
  1. João Nicolau
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Editor information

Editors and Affiliations

  1. Technical University of Lisbon, Lisbon, Portugal

    Manuel Seabra Pereira

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Nicolau, J. (2007). Financial Econometric Models. In: Pereira, M.S. (eds) A Portrait of State-of-the-Art Research at the Technical University of Lisbon. Springer, Dordrecht. https://doi.org/10.1007/978-1-4020-5690-1_2

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  • DOI: https://doi.org/10.1007/978-1-4020-5690-1_2

  • Publisher Name: Springer, Dordrecht

  • Print ISBN: 978-1-4020-5689-5

  • Online ISBN: 978-1-4020-5690-1

  • eBook Packages: EngineeringEngineering (R0)

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