Extreme observations and non-normality in ARCH and GARCH
Year of publication: |
2007
|
---|---|
Authors: | Bali, Rakesh ; Guirguis, Hany S. |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 16.2007, 3, p. 332-346
|
Subject: | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Theorie | Theory | USA | United States | 1951-2000 |
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