An evolutionary game theory explanation of ARCH effects
From MaRDI portal
Publication:1027364
DOI10.1016/j.jedc.2006.05.013zbMath1163.91320OpenAlexW1992739162MaRDI QIDQ1027364
George A. Waters, William R. Parke
Publication date: 1 July 2009
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://cdr.lib.unc.edu/downloads/9k41zp795
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Evolutionary games (91A22)
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