Parsimonious heterogeneous ARCH models for high frequency modeling
Year of publication: |
2020
|
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Authors: | Teran, Juan Carlos Ruilova ; Morettin, Pedro Alberto |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 13.2020, 2/38, p. 1-19
|
Subject: | Euro-Dollar | GARCH model | Griddy-Gibs | HARCH model | PHARCH model | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Modellierung | Scientific modelling | Wechselkurs | Exchange rate |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm13020038 [DOI] hdl:10419/239105 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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