Moments and dynamic structure of a time-varying parameter stochastic volatility in mean model
Year of publication: |
2002
|
---|---|
Authors: | Dēmos, Antōnēs A. |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 5.2002, 2, p. 345-357
|
Subject: | ARCH-Modell | ARCH model | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory |
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