Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility
Yuanhua Feng; Alexander J. McNeil
| Year of publication: |
2008
|
|---|---|
| Authors: | Feng, Yuanhua ; McNeil, Alexander J. |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 25.2008, 5, p. 850-867
|
| Subject: | ARCH-Modell | ARCH model | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Volatilität | Volatility | Theorie | Theory | Schätzung | Estimation | Börsenkurs | Share price | Aktienindex | Stock index | Deutschland | Germany |
| 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/10003800096