Distributional analysis of empirical volatility in GARCH processes

Journal of Statistical Planning and Inference

Volumn 138, Issue 11, 2008, Pages 3578-3589

  Horváth, Lajos ^a   Kokoszka, Piotr ^b   Zitikis, Ričardas ^c  

^a UNIVERSITY OF UTAH   (United States)

^b UTAH STATE UNIVERSITY   (United States)

^c UNIVERSITY OF WESTERN ONTARIO   (Canada)

Author keywords

GARCH model; Limit theory; Volatility

Indexed keywords

EID: 49049097267     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jspi.2007.02.014     Document Type: Article

References (16)

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