Fitting the moments : a comparison of ARCH and regime switching models for daily stock returns
Martin Sola and Allan Timmermann
| Year of publication: |
1994
|
|---|---|
| Authors: | Sola, Martin ; Timmermann, Allan |
| Publisher: |
London |
| Subject: | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Volatilität | Volatility | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis |
| Extent: | 23 S. : graph. Darst |
|---|---|
| Series: | Discussion paper / Centre for Economic Forecasting. - London, ISSN 0969-6598, ZDB-ID 2254286-3. |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10000914034