ARCH and GARCH models vs. martingale volatility of finance market returns
Year of publication: |
2009
|
---|---|
Authors: | McCauley, Joseph L. |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 18.2009, 4, p. 151-153
|
Subject: | ARCH-Modell | ARCH model | Martingal | Martingale | Kapitaleinkommen | Capital income | Volatilität | Volatility | Effizienzmarkthypothese | Efficient market hypothesis |
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