Estimating GARCH volatility in the presence of outliers
Year of publication: |
2012
|
---|---|
Authors: | Carnero, M. Angeles ; Peña, Daniel ; Ruiz, Esther |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 114.2012, 1, p. 86-90
|
Subject: | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility |
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