A simple test for GARCH against a stochastic volatility
Year of publication: |
2005-01-01
|
---|---|
Authors: | Franses, Ph.H.B.F. ; Leij, M.J. van der ; Paap, R. |
Institutions: | Erasmus University Rotterdam, Econometric Institute |
Subject: | GARCH | stochastic volatility | model selection |
Extent: | application/pdf |
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Series: | Econometric Institute Report. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:dgr:eureir Number EI 2005-41 |
Source: |
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