Specification and testing of multiplicative time-varying GARCH models with applications (Q5864441)
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scientific article; zbMATH DE number 7537900
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Specification and testing of multiplicative time-varying GARCH models with applications |
scientific article; zbMATH DE number 7537900 |
Statements
Specification and testing of multiplicative time-varying GARCH models with applications (English)
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7 June 2022
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conditional heteroskedasticity
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misspecification testing
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modelling volatility
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nonlinear model building
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time-varying parameter model
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