A new hyperbolic GARCH model
Muyi Li, Wai Keung Li, Guodong Li
| Year of publication: |
December 2015
|
|---|---|
| Authors: | Li, Muyi ; Li, Wai Keung ; Li, Guodong |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 189.2015, 2, p. 428-436
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| Subject: | ARCH(∞) | Hyperbolic GARCH | Long-range dependence | QMLE | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.03.034 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011504608