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We investigate several aspects of GARCH(p,q) models which are relevant for empirical applications. In particular, we note that the inclusion of a dummy variable as regressor can lead to multimodality in the GARCH likelihood. This makes standard inference on the estimated coefficient impossible....
Persistent link: https://www.econbiz.de/10005345564
''fall'') is regarded as financial anxieties. Such anxieties are quantified by conditional variance of EGARCH model and shown …
Persistent link: https://www.econbiz.de/10005706203
Persistent link: https://www.econbiz.de/10005132918