Time-varying mixture GARCH models and asymmetric volatility
Markus Haas; Jochen Krause; Marc S. Paolella; Sven C. Steude
| Year of publication: |
2013
|
|---|---|
| Authors: | Haas, Markus ; Krause, Jochen ; Paolella, Marc S. ; Steude, Sven Christian |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 26.2013, p. 602-623
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| Subject: | GARCH | News impact curve | Leverage effect | Down-market effect | Mixtures | Time-varying weights | Value-at-risk | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Prognoseverfahren | Forecasting model | Heteroskedastizität | Heteroscedasticity | Börsenkurs | Share price | Schätzung | Estimation | Monte-Carlo-Simulation | Monte Carlo simulation |
| 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/10010370491