Specification and testing of multiplicative time-varying GARCH models with applications
Year of publication: |
2017
|
---|---|
Authors: | Amado, Cristina ; Teräsvirta, Timo |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 36.2017, 4, p. 421-446
|
Subject: | Conditional heteroskedasticity | misspecification testing | modelling volatility | nonlinear model building | time-varying parameter model | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Modellierung | Scientific modelling | Schätzung | Estimation | Nichtlineare Regression | Nonlinear regression |
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