Finite sample properties of the ARCH class of models with stochastic volatility (Q1389738): Difference between revisions
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| Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank | |||
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| Property / cites work: ARCH modeling in finance. A review of the theory and empirical evidence / rank | |||
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| Property / cites work: Finite sample properties of maximum likelihood and quasi-maximum likelihood estimators of egarch models / rank | |||
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| Property / cites work: Multivariate Stochastic Variance Models / rank | |||
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| Property / cites work: ARCH models as diffusion approximations / rank | |||
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| Property / cites work: Conditional Heteroskedasticity in Asset Returns: A New Approach / rank | |||
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| Property / cites work: Q5445942 / rank | |||
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Latest revision as of 12:05, 28 May 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Finite sample properties of the ARCH class of models with stochastic volatility |
scientific article |
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Finite sample properties of the ARCH class of models with stochastic volatility (English)
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30 June 1998
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stochastic volatility
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autoregressive conditional heteroskedasticity
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Monte Carlo experiment
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