A closer look at the relation between GARCH and stochastic autoregressive volatility
Year of publication: |
2003
|
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Authors: | Fleming, Jeff ; Kirby, Chris |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 1.2003, 3, p. 365-419
|
Subject: | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure |
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