Ainda os modelos GARCH
This article summarizes the huge literature on GARCH Models. It is a survey on this subject to spread those models throughout the Portuguese readers. Issler (1999) briefly introduces univariate GARCH models, and provides results ofseveral Brazilian univariate financial series. We extend such study i...
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2002 |
| País: | Brasil |
| Institución: | Universidade de São Paulo (USP) |
| Repositorio: | Economia Aplicada |
| Idioma: | portugués |
| OAI Identifier: | oai:revistas.usp.br:article/219905 |
| Acceso en línea: | https://www.revistas.usp.br/ecoa/article/view/219905 |
| Access Level: | acceso abierto |
| Palabra clave: | GARCH Models |
| Sumario: | This article summarizes the huge literature on GARCH Models. It is a survey on this subject to spread those models throughout the Portuguese readers. Issler (1999) briefly introduces univariate GARCH models, and provides results ofseveral Brazilian univariate financial series. We extend such study in terms ofspecification of the univariate model and by presenting the Multivariate GARCH Models. |
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