Summary - GARCH, JP Morgen Risk Metrics, GJR GARCH, E-GARCH Models
Here is a summary of the above models. The explanation is taken from the class. This summary contains everything what we talked about in terms of interpretation, estimation, and diagnostic checks. This summary helps you go through material without watching again the lengthy web-lectures. I practically wrote down everything what he said. It helps also if you did not watch the weblecture, because you can find here everything what he talked about.
Gekoppeld boek
- mei 2014
- 9781107661455
- 1
Geschreven voor
- Instelling
- Vrije Universiteit Amsterdam (VU)
- Studie
- Msc Finance
- Vak
- Empirical Finance
Documentinformatie
- Heel boek samengevat?
- Onbekend
- Geüpload op
- 7 december 2017
- Aantal pagina's
- 15
- Geschreven in
- 2017/2018
- Type
- SAMENVATTING
Onderwerpen
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garch
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jp morgen risk metrics
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gjr garch
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e garch
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summary empirical finance
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vu university
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vrije university
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opschoor
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empirican finance
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economic interpretation
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parameters restriction
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estimat
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msc finance