Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary (Q4928538)
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scientific article; zbMATH DE number 6176302
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary |
scientific article; zbMATH DE number 6176302 |
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Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary (English)
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14 June 2013
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quasi-maximum likelihood
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GARCH-M model
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asymptotic properties
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volatility-return relation
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