Moments and dynamic structure of a time‐varying parameter stochastic volatility in mean model (Q4416012)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 1961107
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Moments and dynamic structure of a time‐varying parameter stochastic volatility in mean model |
scientific article; zbMATH DE number 1961107 |
Statements
Moments and dynamic structure of a time‐varying parameter stochastic volatility in mean model (English)
0 references
7 August 2003
0 references
financial time series
0 references
exponential GARCH in mean
0 references
stochastic volatility in mean
0 references
time-varying parameter
0 references
0 references
0.79438716173172
0 references
0.7708970308303833
0 references
0.7671939134597778
0 references
0.7658424973487854
0 references
0.7645952105522156
0 references
