Level changes in volatility models
Year of publication: |
2012
|
---|---|
Authors: | Craioveanu, Mihaela ; Hillebrand, Eric |
Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 8.2012, 2/3, p. 277-308
|
Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Prognoseverfahren | Forecasting model | ARMA-Modell | ARMA model | ARCH-Modell | ARCH model | Schätzung | Estimation | USA | United States | 1995-2007 |
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