Structural attribution of observed volatility clustering
Clive W. J. Granger, Mark J. Machina
| Year of publication: |
2006
|
|---|---|
| Authors: | Granger, C. W. J. ; Machina, Mark J. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 135.2006, 1/2, p. 15-29
|
| Subject: | Volatilität | Volatility | ARCH-Modell | ARCH model | Theorie | Theory | Heteroskedastizität | Heteroscedasticity |
| 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/10003376075