Specification and testing of multiplicative time-varying GARCH models with applications (Q5864441)
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scientific article; zbMATH DE number 7537900
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| English | Specification and testing of multiplicative time-varying GARCH models with applications |
scientific article; zbMATH DE number 7537900 |
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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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0.7949010729789734
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0.7930383086204529
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0.7855880856513977
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0.7824429273605347
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