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Inequality Constraints in the Univariate GARCH Model

Daniel B. Nelson, Charles Cao
Year1992
VenueJournal of Business and Economic Statistics
Typearticle
Citations502
DOI10.1080/07350015.1992.10509902
OpenAlexW2066628373

Topics

Financial Risk and Volatility ModelingAutoregressive conditional heteroskedasticityUnivariateEconometricsInequalityEstimation