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The accuracy of asymmetric GARCH model estimation

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Olivier Darné
Laboratoire d'économie et de management de Nantes Atlantique
Amélie Charles
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  • PersonId : 933569
Audencia Business School

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Quantitative Finance [q-fin] Statistical Finance [q-fin.ST]
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https://hal-audencia.archives-ouvertes.fr/hal-01943883

Submitted on : Monday, December 28, 2020-2:33:07 PM

Last modification on : Saturday, November 26, 2022-5:20:07 PM

Long-term archiving on: Monday, March 29, 2021-6:41:01 PM

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hal-01943883 , version 1 (28-12-2020)

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  • HAL Id : hal-01943883 , version 1

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Olivier Darné, Amélie Charles. The accuracy of asymmetric GARCH model estimation. 2020. ⟨hal-01943883⟩

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UNIV-NANTES INSTITUT-TELECOM AUDENCIA CNRS UNIV-ANGERS UNIV-LEMANS EC-NANTES LEMNA UNAM NANTES-UNIVERSITE
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