GARCH processes and the phenomenon of misleading and unambiguous signals-Reference-Cited by-同舟云学术

GARCH processes and the phenomenon of misleading and unambiguous signals

Published:2018-05-04 Issue:5 Volume:34 Page:667-681
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl Stochastic Models Bus Ind

Author:

Sousa Beatriz¹,Cabral Morais Manuel²,Okhrin Yarema³,Schmid Wolfgang⁴

Affiliation:

1. Instituto Superior Técnico; Universidade de Lisboa; Lisbon Portugal

2. Department of Mathematics & CEMAT (Center for Computational and Stochastic Mathematics), Instituto Superior Técnico; Universidade de Lisboa; Lisbon Portugal

3. Faculty of Business and Economics; University of Augsburg; Augsburg Germany

4. Department of Statistics; European University Viadrina; Frankfurt (Oder) Germany

Funder

CEMAT (Center for Computational and Stochastic Mathematics)

Fundação para a Ciência e a Tecnologia

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/asmb.2334/fullpdf

Reference31 articles.

1. Autoregressive conditional heteroscedasticity with estimates of variance of United Kingdom inflation;Engle;Econometrica,1982

2. Generalized autoregressive conditional heteroskedasticity;Bollerslev;J Econ,1986

3. Recent Advances in ARCH Modelling

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