Zobrazeno 1 - 2
of 2
pro vyhledávání: '"Crashmodellierung"'
Autor:
Koether, Paul
We work in the setting of time series of financial returns. Our starting point are the GARCH models, which are very common in practice. We introduce the possibility of having crashes in such GARCH models. A crash will be modeled by drawing innovation
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______651::5d9299f0f681f1736f127c9432cf941f
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/1671
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/1671
Autor:
Koether, Paul
We work in the setting of time series of financial returns. Our starting point are the GARCH models, which are very common in practice. We introduce the possibility of having crashes in such GARCH models. A crash will be modeled by drawing innovation
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______651::044c3eb20edf010af0e0e976fc8c8cb3
https://kluedo.ub.rptu.de/frontdoor/index/index/docId/1671
https://kluedo.ub.rptu.de/frontdoor/index/index/docId/1671