3 Treffer für Schlagwort = "GARCH"

• Discriminating between GARCH and stochastic volatility via nonnested hypotheses testing Messow, Philip [Dortmund] : SFB 823, July 3, 2013

• Modelling interventions in INGARCH processes Liboschik, Tobias ; Kerschke, Pascal ; Fokianos, Konstantinos ; Fried, Roland [Dortmund] : SFB 823, 2013

• Testing for structural breaks in correlation: Does it improve value-at-risk forecasting? Berens, Tobias ; Weiß, Gregor ; Wied, Dominik [Dortmund] : SFB 823, 2013