Finite sample properties of tests for STGARCH models and application to the US stock returns
Year of publication: |
2012
|
---|---|
Authors: | Dufrénot, Gilles ; Marimoutou, Vêlayoudom ; Péguin-Feissolle, Anne |
Published in: |
Progress in financial markets research. - New York, NY : Nova Science Publ., ISBN 978-1-61122-864-9. - 2012, p. 83-101
|
Subject: | ARCH-Modell | ARCH model | Kapitalmarktrendite | Capital market returns | USA | United States |
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