Browsing Titles index "Aggregations and Marginalization of GARCH and Stochastic Volatility Models"

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  • Aggregations and Marginalization of GARCH and Stochastic Volatility Models 

    Meddahi, Nour; Renault, Éric (Université de Montréal. Département de sciences économiques., 1998)
    The GARCH and Stochastic Volatility paradigms are often brought into conflict as two competitive views of the appropriate conditional variance concept : conditional variance given past values of the same series or conditional variance given a larger ...