GARCH and irregularly spaced data
From MaRDI portal
Publication:1929030
DOI10.1016/j.econlet.2005.07.027zbMath1254.91756MaRDI QIDQ1929030
Eric Renault, Nour Meddahi, Bas J. M. Werker
Publication date: 7 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://pure.uvt.nl/portal/en/publications/garch-and-irregularly-spaced-data(cde7c8bd-37ac-4692-836c-c73b60a900a0).html
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
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