Evaluating exponential GARCH models
Year of publication: |
2004-08-27
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Authors: | Malmsten, Hans |
Institutions: | Economics Institute for Research (SIR), Handelshögskolan i Stockholm |
Subject: | evalation of volatility models | modelling volatility | parameter constancy | GARCH |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The text is part of a series SSE/EFI Working Paper Series in Economics and Finance Number 564 25 pages |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing |
Source: |
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