Large and small sample information criteria for GARCH models based on the estimation of the Kullback-Leibler discrepancy
by Chris Brooks and Simon P. Burke
| Year of publication: |
1997
|
|---|---|
| Authors: | Brooks, Chris |
| Other Persons: | Burke, Simon P. (contributor) |
| Institutions: | Centre for Quantitative Economics & Computing (contributor) |
| Publisher: |
Reading : Centre for Quantitative Economics & Computing |
| Subject: | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Wechselkurs | Exchange rate | Monte-Carlo-Simulation | Monte Carlo simulation | Welt | World |
| Extent: | 43 S |
|---|---|
| Series: | Discussion papers in quantitative economics and computing / E. - Reading, ZDB-ID 2553769-6. |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10000978781