Small-sample properties of estimators in an ARCH(1) and GARCH(1,1) model with a generalized error distribution : a robustness study
von Ralf Pauly; Peter Kosater
| Year of publication: |
2005 ; Preliminary version
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|---|---|
| Authors: | Pauly, Ralf ; Kosater, Peter |
| Publisher: |
Osnabrück : Univ., Inst. für Empirische Wirtschaftsforschung |
| Subject: | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Finanzmarkt | Financial market | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Robustes Verfahren | Robust statistics | Theorie | Theory | Statistischer Fehler | Statistical error |
| Extent: | 35 Bl graph. Darst |
|---|---|
| Series: | Beiträge des Instituts für Empirische Wirtschaftsforschung. - Osnabrück : Inst. für Empirische Wirtschaftsforschung, ZDB-ID 1409553-1. - Vol. 73 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Literaturverz. Bl. 22 - 23 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003204016