Merits and drawbacks of variance targeting in GARCH models
Christian Francq; Lajos Horváth; Jean-Michel Zakoïan
| Year of publication: |
2011
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|---|---|
| Authors: | Francq, Christian ; Horváth, Lajos ; Zakoïan, Jean-Michel |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 9.2011, 4, p. 619-656
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| Subject: | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model |
| 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/10009407372