estimation of the volatility in the market plays a key role in quantifying market risk exposure correctly. This paper presents … GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models … with Generalised AutoRegressive Conditional Heteroskedasticity are characterised by the ability to estimate and forecast …

estimation of the volatility in the market plays a key role in quantifying market risk exposure correctly. This paper presents … GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models … with Generalised AutoRegressive Conditional Heteroskedasticity are characterised by the ability to estimate and forecast …

-amerikanischen Häusermarkt die zu anderen Asset-Märkten analogen ARCH-Effekte des Volatility- Clusterings und einer leptokurtischen … Konsequenzen befassen. -- Asset-pricing ; GARCH ; house prices ; house price volatility …