Signal Extraction can Generate Volatility Clusters
| Year of publication: |
2003-08-01
|
|---|---|
| Authors: | McCulloch, J. Huston ; Bidarkota, Prasad V. |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | volatility clusters | GARCH processes | signal extraction | heavy-tailed distributions |
| Extent: | application/pdf |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 59 |
| Classification: | C22 - Time-Series Models ; E31 - Price Level; Inflation; Deflation ; C53 - Forecasting and Other Model Applications |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005706789