Intrinsic liquidity in conditional volatility models
Serge Darolles, Gaëlle Le Fol, Christian Francq, Jean-Michel Zakoïan
| Year of publication: |
December 2016
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|---|---|
| Authors: | Darolles, Serge ; LeFol, Gaëlle ; Francq, Christian ; Zakoïan, Jean-Michel |
| Published in: |
Annals of economics and statistics. - Amiens : GENES, ISSN 2115-4430, ZDB-ID 2588293-4. - Vol. 123/124.2016, p. 225-245
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| Subject: | GARCH | Liquidity | Quasi-Maximum Likelihood | Risk measures | Value-at-Risk | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Volatilität | Volatility | Theorie | Theory | Liquidität | Risiko | Risk | Messung | Measurement | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Zusammenfassung in französischer Sprache |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011592745