Nob-linear GARCH models for highly persistent volatility
Year of publication: |
2005
|
---|---|
Authors: | Lanne, Markku ; Saikkonen, Pentti |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 8.2005, 2, p. 251-276
|
Subject: | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Theorie | Theory | USA | United States | Deutschland | Germany | Japan | Nichtlineare Regression | Nonlinear regression | Schätzung | Estimation | Wechselkurs | Exchange rate |
-
Nonlinear GARCH models for highly persistent volatility
Lanne, Markku, (2002)
-
Wen, Fenghua, (2018)
-
Hafner, Christian M., (1998)
- More ...
-
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes
Lanne, Markku, (2001)
-
Noncausal autoregressions for economic time series
Lanne, Markku, (2010)
-
Testing for Linear and Nonlinear Predictability of Stock Returns
Lanne, Markku, (2013)
- More ...