Stochastic volatility driven by large shocks
Year of publication: |
2006
|
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Authors: | Kapetanios, George ; Tzavalis, Elias |
Publisher: |
London : Queen Mary University of London, Department of Economics |
Subject: | Stochastic volatility, Structural breaks |
Series: | Working Paper ; 568 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 517657341 [GVK] hdl:10419/62849 [Handle] |
Classification: | C22 - Time-Series Models ; C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: |
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