Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary (Q4928538)

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scientific article; zbMATH DE number 6176302
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Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary
scientific article; zbMATH DE number 6176302

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    Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary (English)
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    14 June 2013
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    quasi-maximum likelihood
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    GARCH-M model
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    asymptotic properties
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    volatility-return relation
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