Stylized Facts of Financial Time Series and Three Popular Models of Volatility
Year of publication: |
2004-08-25
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Authors: | Malmsten, Hans ; Teräsvirta, Timo |
Institutions: | Economics Institute for Research (SIR), Handelshögskolan i Stockholm |
Subject: | Autoregressive conditional heteroskedasticity | evaluation of volatility models | exponential GARCH | GARCH | modelling return series | stochastic volatility |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | Published in European Journal of Pure and Applied Mathematics, 2010, pages 417-443. The text is part of a series SSE/EFI Working Paper Series in Economics and Finance Number 563 42 pages |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing |
Source: |
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