Testing for EGARCH Against Stochastic Volatility Models (Q5467599)
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scientific article; zbMATH DE number 5026126
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Testing for EGARCH Against Stochastic Volatility Models |
scientific article; zbMATH DE number 5026126 |
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Testing for EGARCH Against Stochastic Volatility Models (English)
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24 May 2006
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exponential generalized autoregressive conditionally heteroscedastic (EGARCH) models
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stochastic volatility (SV) model
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Lagrange multiplier test
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