GARCH models without positivity constraints : exponential or log GARCH?
Christian Francq; Olivier Wintenberger; Jean-Michel Zakoïan
| Year of publication: |
2013
|
|---|---|
| Authors: | Francq, Christian ; Wintenberger, Olivier ; Zakoïan, Jean-Michel |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 177.2013, 1, p. 34-46
|
| Subject: | EGARCH | Log-GARCH | Quasi-maximum likelihood | Strict stationarity | Tail index | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Statistische Verteilung | Statistical distribution |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010189881