Deciding between GARCH and stochastic volatility via strong decision rules
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Publication:1044073
DOI10.1016/J.JSPI.2009.09.008zbMATH Open1177.62119OpenAlexW3125459270MaRDI QIDQ1044073FDOQ1044073
Authors: Christian M. Hafner, Arie Preminger 
Publication date: 10 December 2009
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2009.09.008
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- scientific article; zbMATH DE number 2065158
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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