Changing-regime volatility : a fractionally integrated SETAR model
Gilles Dufrénot, Dominique Guégan and Anne Péguin-Feissolle
| Year of publication: |
2008
|
|---|---|
| Authors: | Dufrénot, Gilles ; Guégan, Dominique ; Péguin-Feissolle, Anne |
| Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 18.2008, 7/9, p. 519-526
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| Subject: | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Theorie | Theory | ARMA-Modell | ARMA model | Schätzung | Estimation |
| 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://www.econbiz.de/10003739214