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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 | Schätztheorie | Estimation theory | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Zeitreihenanalyse | Time series analysis
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