The ZD-GARCH model : a new way to study heteroscedasticity
Dong Li, Xingfa Zhang, Ke Zhu, Shiqing Ling
| Year of publication: |
January 2018
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| Authors: | Li, Dong ; Zhang, Xingfa ; Zhu, Ke ; Ling, Shiqing |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 202.2018, 1, p. 1-17
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| Subject: | Conditional heteroscedasticity | GARCH model | Generalized quasi-maximum likelihood estimator | Heteroscedasticity | Portmanteau test | Stability test | Top Lyapunov exponent | Zero-drift GARCH model | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Heteroskedastizität | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2017.09.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011974547