APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS (Q2810372): Difference between revisions
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Revision as of 08:36, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS |
scientific article |
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APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS (English)
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1 June 2016
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autoregressive conditional heteroscedasticity
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financial returns
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least absolute deviation estimation
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leverage effects
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quasi-maximum likelihood estimation
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Taylor effect
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