JOURNAL ARTICLE
Estimation of STAR–GARCH Models with Iteratively Weighted Least Squares
Year: 2018 Journal: Computational Economics Vol: 55 (1)Pages: 87-117 Publisher: Springer Science+Business Media
Keywords:
Autoregressive conditional heteroskedasticity Autoregressive model Estimator Mathematics Benchmark (surveying) Star (game theory) Conditional variance Econometrics Statistics Mean squared error Monte Carlo method Volatility (finance)
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Topics
Financial Risk and Volatility Modeling
Social Sciences → Economics, Econometrics and Finance → Finance
Monetary Policy and Economic Impact
Social Sciences → Economics, Econometrics and Finance → General Economics, Econometrics and Finance
Complex Systems and Time Series Analysis
Social Sciences → Economics, Econometrics and Finance → Economics and Econometrics
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