Improved Estimation of Dynamic Models of Conditional Means and Variances
Year of publication: |
2020
|
---|---|
Authors: | Wang, Weining |
Other Persons: | Wooldridge, Jeff (contributor) ; Xu, Mengshan (contributor) |
Publisher: |
[2020]: [S.l.] : SSRN |
Subject: | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Volatilität | Volatility | Dynamische Wirtschaftstheorie | Economic dynamics |
Extent: | 1 Online-Ressource (35 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 11, 2020 erstellt |
Other identifiers: | 10.2139/ssrn.3690826 [DOI] |
Classification: | C13 - Estimation ; C22 - Time-Series Models ; C32 - Time-Series Models ; G00 - Financial Economics. General |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Modelling exchange rates volatility with multivariate long-memory ARCH processes
Teyssière, Gilles, (1999)
-
Splines for Financial Volatility
Audrino, Francesco, (2007)
-
Unstable Volatility Functions : The Break Preserving Local Linear Estimator
Casas, Isabel, (2009)
- More ...
-
Policy choice in time series by empirical welfare maximization
Kitagawa, Toru, (2024)
-
Improved Estimation of Dynamic Models of Conditional Means and Variances
Wang, Weining, (2020)
-
Policy choice in time series by empirical welfare maximization
Kitagawa, Toru, (2022)
- More ...