On the ability of the power threshold GARCH model to capture the Taylor effect (Q2990085)
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scientific article; zbMATH DE number 6607892
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| English | On the ability of the power threshold GARCH model to capture the Taylor effect |
scientific article; zbMATH DE number 6607892 |
Statements
29 July 2016
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financial time series
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autocorrelations
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Taylor effect
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Taylor property
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power TGARCH model
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0.8739226460456848
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0.8226892352104187
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0.7602179646492004
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0.7409515380859375
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0.7382938861846924
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