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Deterministic and stochastic models for the estimation of trading-day variations / by Estela Bee Dagum and Benoit Quenneville.: CS11-614/88-3E-PDF

"This paper presents two stochastic models for trading-day variations that allow a moving behavior of the daily coefficients. The estimation method is discussed and the deterministic and stochastic models are applied on both simulated and real series"--Abstract.

Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.838166&sl=0

Publication information
Department/Agency
  • Canada. Statistics Canada. Methodology Branch.
TitleDeterministic and stochastic models for the estimation of trading-day variations / by Estela Bee Dagum and Benoit Quenneville.
Series title
  • Working paper ; 88-3
Publication typeMonograph - View Master Record
Language[English]
FormatDigital text
Electronic document
Note(s)
  • Digitized edition from print [produced by Statistics Canada].
  • Working Paper No. TSRAD-88-003E."
  • "January, 1988."
  • Includes bibliographic references.
  • Abstract in French.
Publishing information
  • Ottawa : Statistics Canada, 1988.
Author / Contributor
  • Dagum, Estela Bee.
  • Quenneville, Benoit,1959-
Description23, [5] p. : figures.
Catalogue number
  • CS11-614/88-3E-PDF
Departmental catalogue number11-614E no. 88-03
Subject terms
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