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Mathematical finance / Econometrics / Time series analysis / Financial economics / Autoregressive conditional heteroskedasticity / Autoregressive fractionally integrated moving average / Volatility / Economic model / Time series / Statistics / Economics / Finance


20th International Congress on Modelling and Simulation, Adelaide, Australia, 1–6 December 2013 www.mssanz.org.au/modsim2013 Time Series Properties of Liquidation Discount F. Chan a , J. Gould a , R. Singh a and J.W. Y
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Document Date: 2013-11-19 22:06:19

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File Size: 1,11 MB

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City

Perth / Adelaide / /

Company

Multidisciplinary Working Group / Australian Securities Exchange / /

Country

Australia / United Kingdom / United States / /

Currency

pence / USD / /

/

Facility

Curtin University / University of Western Australia / Securities Industry Research Centre of Asia-Pacific / /

MarketIndex

ASX / Autoregressive Fractional Integrated Moving / /

Organization

School of Economics and Finance / International Congress / School of Accounting and Finance / American Statistical Association / Curtin University / Australian Research Council / University of Western Australia / Perth / Securities Industry Research Centre of Asia-Pacific / /

Person

Van Ness / W. Van Ness / Mandelbrot Ness / /

Position

author / overall model for each time period / author for proposing the research question / first author for their insightful suggestions and technical expertise / /

ProvinceOrState

Western Australia / /

PublishedMedium

Journal of Financial Economics / Journal of the American Statistical Association / Journal of Econometrics / Journal of Applied Econometrics / /

Region

Western Australia / /

Technology

Simulation / /

URL

www.mssanz.org.au/modsim2013 / /

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