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~subject:"Conditional heteroscedasticity"
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Conditional heteroscedasticity
Volatility
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Volatilität
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Estimation theory
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ARCH model
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ARCH-Modell
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EGARCH
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Heteroscedasticity
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Theory
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Maximum likelihood estimation
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Carnero, M. Angeles
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Pérez, Ana
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Krištoufek, Ladislav
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Energy economics
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Outliers and misleading leverage effect in asymmetric GARCH-type models
Carnero, M. Angeles
;
Pérez, Ana
-
2018
-
Version: January 2018
Persistent link: https://www.econbiz.de/10011819298
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Leverage effect in energy futures revisited
Carnero, M. Angeles
;
Pérez, Ana
- In:
Energy economics
82
(
2019
),
pp. 237-252
Persistent link: https://www.econbiz.de/10012173930
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