Modeling conditional heteroscedasticity and dorecasting in short term interest rate of KIBOR
Year of publication: |
December 2010
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Authors: | Irfan, Mohammad ; Irfan, Maria ; Awais, Muhammad |
Published in: |
International journal of economic perspectives : IJEP. - Famagusta : Soc., ISSN 1307-1637, ZDB-ID 2464117-0. - Vol. 4.2010, 4, p. 635-654
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Subject: | KIBOR | GARCH | EGARCH | Volatility Modelling | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Zins | Interest rate | Stochastischer Prozess | Stochastic process |
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