Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models (Q5697593)
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scientific article; zbMATH DE number 2215302
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models |
scientific article; zbMATH DE number 2215302 |
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Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models (English)
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18 October 2005
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generalized autoregressive heteroskedastic process
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conditional probability density function
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large deviation probability
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asymptotics
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Laplace integral
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quantile estimation
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value at risk
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