Modeling and forecasting volatilities of financial assets with an asymmetric zero-drift GARCH model
Year of publication: |
2023
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Authors: | Shi, Yanlin |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 4, p. 1308-1345
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Subject: | asymmetric effect | heteroskedasticity | volatility forecasting | zero-drift GARCH | Theorie | Theory | ARCH-Modell | ARCH model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Schätzung | Estimation |
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