GARCH models. Structure, statistical inference and financial applications (Q5222822)
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scientific article; zbMATH DE number 7076457
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| English | GARCH models. Structure, statistical inference and financial applications |
scientific article; zbMATH DE number 7076457 |
Statements
GARCH Models (English)
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3 July 2019
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statistical inference
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conditionally heteroscedastic model
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financial return
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GARCH model
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univariate model
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multivariate model
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discrete time model
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continuous time model
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exponential GARCH model
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threshold GARCH model
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asymmetric GARCH model
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stationarity
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whiteness
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option pricing
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Value at Risk
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parameter-driven volatility
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stochastic volatility
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Markov switching volatility
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0.8167244791984558
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0.8102786540985107
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0.805563747882843
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0.8047249913215637
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