A testing procedure for constant parameters in stochastic volatility models
Juan del Hoyo, Guillermo Llorente, Carlos Rivero
| Year of publication: |
2020
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|---|---|
| Authors: | Hoyo, Juan del ; Llorente, Guillermo ; Rivero, Carlos |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 56.2020, 1, p. 163-186
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| Subject: | Structural change | Sup-Wald test | Monte Carlo simulations | Recursive statistics | Time-varying parameters | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Stochastischer Prozess | Stochastic process | Statistischer Test | Statistical test | Strukturwandel | Simulation | Volatilität | Volatility | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-019-09892-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012272023