2 Ergebnisse für: 1934kb
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KLUEDO | GARCH-like Models with Dynamic Crash-Probabilities
http://kluedo.ub.uni-kl.de/volltexte/2005/1885/
We work in the setting of time series of financial returns. Our starting point are the GARCH models, which are very common in practice. We introduce the possibility of having crashes in such GARCH models. A crash will be modeled by drawing innovations from…
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Dardesheimer Windblatt - Energiepark Druiberg GmbH
https://web.archive.org/web/20120903091330/http://www.energiepark-druiberg.de/windblatt.php
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