Modelling squared returns using a SETAR model with long-memory dynamics
Gilles Dufrenot; Dominique Guegan; Anne Peguin-Feissolle
| Year of publication: |
2005
|
|---|---|
| Authors: | Dufrénot, Gilles ; Guégan, Dominique ; Péguin-Feissolle, Anne |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 86.2005, 2, p. 237-243
|
| Subject: | Aktienindex | Stock index | Volatilität | Volatility | Frankreich | France | ARMA-Modell | ARMA model | 1998-2003 |
| 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/10002584436