## Recent research on volatility of asset returns demonstrates that model innovations frequently show unconditional heteroscedasticity. On the other hand, ARMA-GARCH models incorporate the heteroscedasticity only in the conditional distribution of the innovations, assuming the unconditional distr
Real-time assessment of value-at-risk and volatility accuracy
β Scribed by Joe H. Sullivan; Zachary G. Stoumbos; Robert Brooks
- Book ID
- 108225936
- Publisher
- Elsevier Science
- Year
- 2007
- Tongue
- English
- Weight
- 263 KB
- Volume
- 8
- Category
- Article
- ISSN
- 1468-1218
No coin nor oath required. For personal study only.
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