Log-volatility enhanced GARCH models for single asset returns
Year of publication: |
2015
|
---|---|
Authors: | Skoczylas, Tomasz |
Published in: |
Bank i kredyt. - Warszawa, ISSN 0137-5520, ZDB-ID 2374691-9. - Vol. 46.2015, 5, p. 411-431
|
Subject: | GARCH | range-based volatility estimators | observed volatility | Value-at-Risk | volatility forecasting | Volatilität | Volatility | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Schätzung | Estimation |
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