APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS (Q2810372): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 18:55, 3 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS |
scientific article |
Statements
APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS (English)
0 references
1 June 2016
0 references
autoregressive conditional heteroscedasticity
0 references
financial returns
0 references
least absolute deviation estimation
0 references
leverage effects
0 references
quasi-maximum likelihood estimation
0 references
Taylor effect
0 references
