A note on the normalized residuals from ARCH and stochastic volatility models
Daniel B. Nelson
| Year of publication: |
1990 ; Rev
|
|---|---|
| Authors: | Nelson, Daniel B. |
| Publisher: |
Chicago, IL : Univ. of Chicago, Graduate School of Business [u.a.] |
| Subject: | Schätztheorie | Estimation theory | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process |
| Extent: | 17 S. : graph. Darst |
|---|---|
| Series: | Working paper series economics and econometrics. - Chicago, Ill. : [Verlag nicht ermittelbar], ZDB-ID 2618229-4. - Vol. 89 |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10000809491