Approximating Volatilities By Asymmetric Power Garch Functions
Work
Year: 2009
Type: article
Abstract: Summary ARCH/GARCH representations of financial series usually attempt to model the serial correlation structure of squared returns. Although it is undoubtedly true that squared returns are correlated... more
Authors Jeremy Penzer, Mingjin Wang, Qiwei Yao
Cites: 52
Cited by: 8
Related to: 10
FWCI: 0.528
Citation percentile (by year/subfield): 71.46
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: bronze