Sankhyā: The Indian Journal of Statistics, Series B (1960-2002), Vol. 62, No. 2 (Aug., 2000), pp. 327-344 (18 pages) This paper suggests a class of ARCH in the nonlinear mean (ARCH-NM) models. This ...
Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...
We compare 330 ARCH-type models in terms of their ability to describe the conditional variance. The models are compared out-of-sample using DM-$ exchange rate data and IBM return data, where the ...
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