ZD-GARCH model: a new way to study heteroscedasticity
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More about this item
Keywords
Conditional heteroscedasticity; GARCH model; Generalized quasi-maximum likelihood estimator; Heteroscedasticity; Portmanteau test; Stability test; Top Lyapunov exponent; Zero-drift GARCH model.;All these keywords.
JEL classification:
- C0 - Mathematical and Quantitative Methods - - General
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2016-01-18 (Econometrics)
- NEP-ETS-2016-01-18 (Econometric Time Series)
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