Merits and drawbacks of variance targeting in GARCH models
Year of publication: |
2011
|
---|---|
Authors: | Francq, Christian ; Horváth, Lajos ; Zakoïan, Jean-Michel |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 9.2011, 4, p. 619-656
|
Subject: | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
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