Finite sample properties of the ARCH class of models with stochastic volatility

DOI10.1016/S0165-1765(97)00048-7zbMath0895.90046MaRDI QIDQ1389738

Partha Deb

Publication date: 30 June 1998

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityMonte Carlo experimentautoregressive conditional heteroskedasticity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (1)

ON THE RATE OF INFORMATION ABSORPTION IN THE CONDITIONAL VARIANCE OF SES DUAL LISTED STOCKS

Cites Work

• Unnamed Item
• ARCH modeling in finance. A review of the theory and empirical evidence
• Generalized autoregressive conditional heteroscedasticity
• ARCH models as diffusion approximations
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Multivariate Stochastic Variance Models
• Finite sample properties of maximum likelihood and quasi-maximum likelihood estimators of egarch models

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