Specification and testing of multiplicative time-varying GARCH models with applications
Cristina Amado and Timo Teräsvirta
| Year of publication: |
2017
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|---|---|
| Authors: | Amado, Cristina ; Teräsvirta, Timo |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 36.2017, 4, p. 421-446
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| Subject: | Conditional heteroskedasticity | misspecification testing | modelling volatility | nonlinear model building | time-varying parameter model | ARCH-Modell | ARCH model | Volatilität | Volatility | Schätztheorie | Estimation theory | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Nichtlineare Regression | Nonlinear regression | Modellierung | Scientific modelling | Heteroskedastizität | Heteroscedasticity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2014.977064 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011795239