Finite sample properties of the ARCH class of models with stochastic volatility (Q1389738)
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scientific article; zbMATH DE number 1170381
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| English | Finite sample properties of the ARCH class of models with stochastic volatility |
scientific article; zbMATH DE number 1170381 |
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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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0.8208186626434326
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0.8042656183242798
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