Mixing and moment properties of various GARCH and stochastic volatility models
Year of publication: |
2002
|
---|---|
Authors: | Carrasco, Marine ; Chen, Xiaohong |
Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 18.2002, 1, p. 17-39
|
Subject: | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Theorie | Theory |
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