A new non-linear GARCH model
This dissertation contains four papers in the field of financial econometrics. In the first paper, A Smooth Transition ARCH Model for Asset Returns, a new class of ARCH models is introduced. The model class allows for non-linearity in the equation for the conditional variance. Two forms of non-linea...
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| Format: | Doctoral Thesis |
| Language: | English |
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Handelshögskolan i Stockholm, Finansiell Ekonomi (FI)
1997
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-861 http://nbn-resolving.de/urn:isbn:91-7258-444-0 |