A simple test for GARCH against a stochastic volatility model
Year of publication: |
2008
|
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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 |
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