Browsing 002 Σχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied Sciences by Subject "(G)ARCH models"
Now showing items 1-1 of 1
-
Article
Normalized least-squares estimation in time-varying arch models
(2008)We investigate the time-varying ARCH (tvARCH) process. It is shown that it can be used to describe the slow decay of the sample autocorrelations of the squared returns often observed in financial time series, which warrants ...