Modeling structural changes in the volatility process
Bart Frijns; Thorsten Lehnert; Remco C. J. Zwinkels
| Year of publication: |
2011
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|---|---|
| Authors: | Frijns, Bart ; Lehnert, Thorsten ; Zwinkels, Remco C. J. |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 18.2011, 3, p. 522-532
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| Subject: | GARCH | Time varying coefficients | Multinomial logit | Volatilität | Volatility | ARCH-Modell | ARCH model | Logit-Modell | Logit model | Schätzung | Estimation | Strukturwandel | Structural change | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
| 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/10009302073