New approach in dealing with the non-negativity of the conditional variance in the estimation of GARCH model
Abdeljalil Settar, Nadia Idrissi Fatmi, Mohammed Badaoui
Year of publication: |
2021
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Authors: | Settar, Abdeljalil ; Fatmi, Nadia Idrissi ; Badaoui, Mohammed |
Published in: |
Central European journal of economic modelling and econometrics. - [Erscheinungsort nicht ermittelbar] : Versita, ISSN 2080-119X, ZDB-ID 2529566-4. - Vol. 13.2021, 1, p. 55-74
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Subject: | GARCH | Kalman filter | conditional variance | volatility | quasi-maximum likelihood | ARCH-Modell | ARCH model | Volatilität | Volatility | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price |
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