Estimation for a nonstationary semi-strong GARCH (1,1) model with heavy-tailed errors
Year of publication: |
2010
|
---|---|
Authors: | Linton, Oliver ; Pan, Jiazhu ; Wang, Hui |
Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 26.2010, 1, p. 1-28
|
Subject: | ARCH-Modell | ARCH model | Theorie | Theory |
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