Robust estimation of the simplified multivariate GARCH model
Farhat Iqbal
| Year of publication: |
2013
|
|---|---|
| Authors: | Iqbal, Farhat |
| Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 44.2013, 3, p. 1353-1372
|
| Subject: | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Volatilität | Volatility | ARCH-Modell | ARCH model | Robustes Verfahren | Robust statistics | Monte-Carlo-Simulation | Monte Carlo simulation | USA | United States | 1991-1999 |
| 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/10009749477