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| Tekijä: | Mansfield, P. |
| Otsikko: | GARCH in question ... and as a benchmark |
| Lehti: | International Review of Financial Analysis
1999 : VOL. 8:1, p. 1-20 |
| Asiasana: | Benchmarking Interest rates Volatility Models |
| Kieli: | eng |
| Tiivistelmä: | Over the past 12 years, the GARCH industry has produced an almost infinite number of volatility time series from an extremely wide range of return series. This paper revisits the notion of volatility. |
SCIMA