Modeling structural changes in the volatility process
Year of publication: |
2011
|
---|---|
Authors: | Frijns, Bart ; Lehnert, Thorsten ; Zwinkels, Remco C. J. |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 18.2011, 3, p. 522-532
|
Subject: | GARCH | Time varying coefficients | Multinomial logit | ARCH-Modell | ARCH model | Volatilität | Volatility | Strukturwandel | Structural change | Logit-Modell | Logit model |
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