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Parametric inference and forecasting in continuously invertible volatility models
Wintenberger, Olivier; Cai, Sixiang - Volkswirtschaftliche Fakultät, … - 2011
results on univariate and multivariate GARCH type models where our estimator coincides with the QMLE. In the EGARCH(1,1)model …
Persistent link: https://www.econbiz.de/10009147705
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European Central Bank and Federal Reserve USA: monetary policy effects on the returns volatility of the Italian Stock Market Index Mibtel
Francesco, Guidi - Volkswirtschaftliche Fakultät, … - 2008
EGARCH models, this work shows that expansive monetary policies may influence stock market indexes much more than restrictive …
Persistent link: https://www.econbiz.de/10005789602