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Economics Letters

Volumn 55, Issue 1, 1997, Pages 27-34

Finite sample properties of the ARCH class of models with stochastic volatility

(1) Deb, Partha a

a INDIANA UNIVERSITY (United States)

Author keywords

Autoregressive conditional heteroskedasticity; C15; C22; Monte Carlo experiment; Stochastic volatility

Indexed keywords

EID: 0031285236 PISSN: 01651765 EISSN: None Source Type: Journal
DOI: 10.1016/S0165-1765(97)00048-7 Document Type: Article

Times cited : (2)

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