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Bootstrap-Based Test for Volatility Shifts in GARCH against Long-Range Dependence Wang, Yu; Park, Cheolwoo; Lee, Taewook, COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS, v.22, no.5, pp.495 - 506, 2015-09 |
Small sample properties of GARCH(1,1) estimator under non-normality Noh, Jaesun, ECONOMICS LETTERS, v.55, no.2, pp.161 - 164, 1997 |
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