Exponential-type GARCH models with linear-in-variance risk premium
Christian M. Hafner and Dimitra Kyriakopoulou
| Year of publication: |
2021
|
|---|---|
| Authors: | Hafner, Christian M. ; Kyriakopoulou, Dimitra |
| Subject: | EGARCH | GARCH-in-mean | Log-GARCH | Maximum likelihood | Risk premium | Stochastic recurrence equation | Risikoprämie | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | CAPM | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2019.1691564 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012499104