A simple test for GARCH against a stochastic volatility model
Philip Hans Franses; Marco van der Leij; Richard Paap
| Year of publication: |
2008
|
|---|---|
| Authors: | Franses, Philip Hans ; Leij, Marco van der ; Paap, Richard |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 6.2008, 3, p. 291-306
|
| Subject: | ARCH-Modell | ARCH model | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Statistischer Test | Statistical test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003748059