Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches

DOI10.1016/j.amc.2006.01.080zbMath1151.91707OpenAlexW2064636207MaRDI QIDQ858848

Michael Nwogugu

Publication date: 11 January 2007

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2006.01.080

zbMATH Keywords

complexitypsychologyrisk and uncertaintynon-linear analysisGARCH/ARMAStochastic-Volatility

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Uses Software

• CAViaR

Cites Work

• Unnamed Item
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