Finite-sample properties of GARCH models in the presence of time-varying unconditional variance : a simulation story
Oliver Old
| Year of publication: |
[2020]
|
|---|---|
| Authors: | Old, Oliver |
| Publisher: |
Hagen : FernUniversität in Hagen |
| Subject: | Finite-sample distribution | spline-GARCH model | time-varying unconditional variance | simulation study | Simulation | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Volatilität | Volatility |
| Extent: | 44 Seiten Illustrationen |
|---|---|
| Series: | Diskussionsbeiträge / Fakultät Wirtschaftswissenschaft, FernUniversität in Hagen. - Hagen : Fernuniv., ZDB-ID 2595313-8. - Vol. Nr. 519 (Januar 2020) |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Notes: | Erscheint auch als Online-Ausgabe |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012149432