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Autoregressive conditional heteroskedasticity / Maximum likelihood / Estimator / Entailment / Likelihood function / Estimation theory / Statistics / Logic


Modelling Changes in the Unconditional Variance of Long Stock Return Series Cristina Amado∗ University of Minho and NIPE Campus de Gualtar, Braga, Portugal
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Document Date: 2012-02-14 01:27:27

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File Size: 1,41 MB

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City

Braga / Lisbon / /

Company

Diebold / /

Country

Denmark / /

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Facility

Aarhus University Building / Long Stock Return Series Cristina Amado∗ University of Minho / Aarhus University / University of Pennsylvania / building TV-GARCH / /

IndustryTerm

oil crisis / statistical tools / iterative algorithm / estimation algorithm / /

MarketIndex

DJIA / Dow 30 / /

Movie

Work in Progress / /

Organization

Danish National Research Foundation / Aarhus University / Long Stock Return Series Cristina Amado∗ University of Minho / Department of Economics and Business / Wharton School / the University of Pennsylvania / /

Person

Engle Rangel / Timo Ter / Gonzalo Rangel / Cristina Amado / van Bellegem / /

Position

rst author / model for ht / GJR-GARCH model for short-term horizons / /

ProvinceOrState

Pennsylvania / /

PublishedMedium

The DJIA daily / /

TVStation

Kalb / /

Technology

1 This algorithm / iterative algorithm / estimation algorithm / /

SocialTag