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Auto-regressive model

Forecasts are in terms of reduced, higher order, ARMA-type processes that drift to accommodate evolving market conditions. Goff and R.

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C Dunis and B Zhou eds Nonlinear modelling of high frequency financial times series. NY, Wiley Oxford, Oxford University Press, Army Research Office: Durham. Ames, Iowa State Press, Ch13, , Oxford, Oxford University Press, Lucas and T.

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