Modelling the persistence of conditional variances (Q3756387)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling the persistence of conditional variances |
scientific article |
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Modelling the persistence of conditional variances (English)
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1986
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autoregressive conditional heteroscedasticity
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nonlinear conditional heteroscedasticity
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exchange rate determination
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ARCH-type models
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modelling of risk and uncertainty
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GARCH
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modelling conditional variances
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asset pricing theory
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integrated in variance
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generalizing the conditional density
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Student-\(t\) distribution with unknown degrees of freedom
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conditional kurtosis
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time aggregated models
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