Size Distortion in the Analysis of Volatility and Covolatility Effects

DOI10.1007/978-3-642-35443-4_7zbMath1322.62299OpenAlexW2235582472MaRDI QIDQ2950560

Christian Gouriéroux, Joanna Jasiak

Publication date: 9 October 2015

Published in: Uncertainty Analysis in Econometrics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-35443-4_7

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Asymptotic properties of parametric tests (62F05)

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