Impressum | |
13 | Time Series with Stochastic Volatility |
13.1 | ARCH and GARCH Models |
13.2 | Extensions of the GARCH Model |
13.2.1 | Exponential GARCH |
13.2.2 | Threshold ARCH Models |
13.2.3 | Risk and Returns |
13.2.4 | Estimation Results for the DAX Returns |
13.3 | Multivariate GARCH models |
13.4 | Recommended Literature |