Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH
Year of publication: |
2004
|
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Authors: | Brännäs, Kurt ; Gooijer, Jan G. de |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 23.2004, 3, p. 155-171
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Subject: | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Theorie | Theory | Nichtlineare Regression | Nonlinear regression |
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