Estimation and forecasting of long memory stochastic volatility models
Omar Abbara and Mauricio Zevallos
| Year of publication: |
2023
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|---|---|
| Authors: | Abbara, Omar ; Zevallos, Mauricio |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 27.2023, 1, p. 1-24
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| Subject: | mixtures | non-Gaussian errors | value-at-risk | Volatilität | Volatility | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Statistische Verteilung | Statistical distribution |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2020-0106 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014288818