Log-volatility enhanced GARCH models for single asset returns
Tomasz Skoczylas
| Year of publication: |
2015
|
|---|---|
| Authors: | Skoczylas, Tomasz |
| Published in: |
Bank i kredyt. - Warszawa, ISSN 0137-5520, ZDB-ID 2374691-9. - Vol. 46.2015, 5, p. 411-431
|
| Subject: | GARCH | range-based volatility estimators | observed volatility | Value-at-Risk | volatility forecasting | Volatilität | Volatility | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
| 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://www.econbiz.de/10011387038