ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS

DOI10.1017/S0266466614000334zbMath1441.62242OpenAlexW2011990637MaRDI QIDQ5247357

Eric Ghysels, Fangfang Wang

Publication date: 24 April 2015

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466614000334

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10)

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