Estimation and forecasting of long memory stochastic volatility models
Year of publication: |
2023
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Authors: | Abbara, Omar ; Zevallos, Mauricio |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 27.2023, 1, p. 1-24
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Subject: | mixtures | non-Gaussian errors | value-at-risk | ARCH-Modell | ARCH model | Volatilität | Volatility | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
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