Asymptotic properties of GARCH-X processes
Year of publication: |
2015
|
---|---|
Authors: | Han, Heejoon |
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. 13.2015, 1, p. 188-221
|
Subject: | GARCH | GARCH-X | fractionally integrated process | long memory property | leptokurtosis | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Volatilität | Volatility |
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