An ACD-ECOGARCH (1,1) model
Year of publication: |
2010
|
---|---|
Authors: | Czado, Claudia ; Haug, Stephan |
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. 8.2010, 3, p. 335-344
|
Subject: | Modellierung | Scientific modelling | Makroökonometrie | Macroeconometrics | Wirtschaftsmodell | Economic model | Schätztheorie | Estimation theory |
-
Lewbel, Arthur, (2007)
-
Gupta, Anil, (2007)
-
Hua, Ronald, (2012)
- More ...
-
Mixed effect model for absolute log returns of ultra high frequency data
Haug, Stephan, (2005)
-
A fractionally integrated ECOGARCH process
Haug, Stephan, (2006)
-
An exponential continuous time GARCH process
Haug, Stephan, (2006)
- More ...