Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data

Alexander Beck, Young Shin Kim, Svetlozar Rachev, Michael Feindt, Frank Fabozzi

Research output: Contribution to journal › Article

Original language	English
Journal	Studies in Nonlinear Dynamics and Econometrics
DOIs	https://doi.org/10.1515/snde-2012-0033
State	Published - Jan 11 2013

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title = "Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data",

author = "Alexander Beck and Kim, {Young Shin} and Svetlozar Rachev and Michael Feindt and Frank Fabozzi",

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AU - Beck, Alexander

AU - Kim, Young Shin

AU - Rachev, Svetlozar

AU - Feindt, Michael

AU - Fabozzi, Frank

PY - 2013/1/11

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