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~institution:"Ekonomiska forskningsinstitutet <Stockholm>"
~institution:"Finance Discipline Group, Business School"
~institution:"Frankfurt School of Finance and Management"
~subject:"ARCH"
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Ekonomiska forskningsinstitutet <Stockholm>
Finance Discipline Group, Business School
Frankfurt School of Finance and Management
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
5
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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Madras School of Economics
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Rimini Centre for Economic Analysis (RCEA)
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Risk and Insurance Archive
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eSocialSciences
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Økonomisk Institut, Københavns Universitet
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai
;
Cremers, Heinz
;
Sanddorf, Walter
-
Frankfurt School of Finance and Management
-
2014
GARCH
models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models …
Persistent link: https://www.econbiz.de/10010985133
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2
Modelling Yen Futures Return Using Daily Data From IMM and Simex
Bhar, Ram
-
Finance Discipline Group, Business School
-
1994
in the return series as a
GARCH
(1, 1) process. The results reject the martingale behaviour in the return but find a …
Persistent link: https://www.econbiz.de/10005073691
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