An ARCH model without intercept
Christian M. Hafner, Arie Preminger
| Year of publication: |
April 2015
|
|---|---|
| Authors: | Hafner, Christian M. ; Preminger, Arie |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 129.2015, p. 13-17
|
| Subject: | Nonstationarity | Volatility | Lyapunov exponent | Random walk | Volatilität | Zeitreihenanalyse | Time series analysis | Random Walk | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2015.01.029 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011421858