Indirect Inference for Lévy-Driven Continuous-Time GARCH Models
Year of publication: |
2018
|
---|---|
Authors: | do Rego Sousa, Thiago |
Other Persons: | Haug, Stephan (contributor) ; Klüppelberg, Claudia (contributor) |
Publisher: |
[2018]: [S.l.] : SSRN |
Subject: | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Volatilität | Volatility |
Extent: | 1 Online-Ressource (39 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 14, 2018 erstellt |
Other identifiers: | 10.2139/ssrn.3112107 [DOI] |
Classification: | C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: | ECONIS - Online Catalogue of the ZBW |
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