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Temporal aggregation of GARCH models. Conditional kurtosis and optimal frequency

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Metadaten
Author:Thomas Breuer, Martin Jandacka
URL:https://homepages.fhv.at/tb/cms/?download=BreuerJandacka-GARCHaggreg.pdf
Date:20.04.2020
Document Type:Report
Language:English
Year of publication:2010
Release Date:2018/11/22
Organisationseinheit:Technik / Department of Computer Science
Forschung / Forschungszentrum Business Informatics
Publicationlist:Jandacka, Martin
Breuer, Thomas