Time-varying variance scaling : application of the fractionally integrated ARMA model
An-Sing Chen, Hung-Chou Chang, Lee-Young Cheng
| Year of publication: |
2019
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|---|---|
| Authors: | Chen, An-sing ; Chang, Hung-Chou ; Cheng, Lee-Young |
| 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. 47.2019, p. 1-12
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| Subject: | Anomalies | Forecasting model | Stock portfolio | Time-varying risk | Prognoseverfahren | Zeitreihenanalyse | Time series analysis | Portfolio-Management | Portfolio selection | Theorie | Theory | ARMA-Modell | ARMA model | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2018.11.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012117796