Model selection and testing of conditional and stochastic volatility models
Massimiliano Caporin and Michael McAleer
| Year of publication: |
2010
|
|---|---|
| Authors: | Caporin, Massimiliano ; McAleer, Michael |
| Publisher: |
Christchurch : Dep. of Economics and Finance, College of Business and Economics, Univ. of Canterbury |
| Subject: | Volatilität | Volatility | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Modellierung | Scientific modelling | ARCH-Modell | ARCH model |
| Extent: | Online-Ressource (30 S., 390 Kb) |
|---|---|
| Series: | Working paper. - Christchurch, New Zealand, ZDB-ID 2579761-X. - Vol. 2010,58 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008695598