Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models (Q5697593): Difference between revisions

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+R. G. M. Brummelhuis
@@ Property / author: R. G. M. Brummelhuis / rank @@
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+MaRDI publication profile
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+https://doi.org/10.1239/jap/1118777180
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+W1995750147
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+Coherent Measures of Risk
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+Temporal Aggregation of Garch Processes
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
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@@ links / mardi / name / links / mardi / name @@
+Publication:5697593