A discussion on the robustness of conditional heteroskedasticity models : simulation evidence and applications of the crude oil returns
Year of publication: |
2022
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Authors: | Shi, Yanlin |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 44.2022, p. 1-8
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Subject: | Conditional volatility | Crude oil | GARCH | Generalized autoregressive score | Robustness | Volatilität | Volatility | ARCH-Modell | ARCH model | Ölpreis | Oil price | Robustes Verfahren | Robust statistics | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
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