Sensitivity Analysis of GARCH Models

Vladimiro Ceci,, Simone Manganelli and Walter Vecchiato

No 31, Computing in Economics and Finance 2002 from Society for Computational Economics

Keywords: GARCH; Sensitivity Analysis; Dynamic Correlations (search for similar items in EconPapers)
JEL-codes: C32 C53 G15 (search for similar items in EconPapers)
Date: 2002-07-01
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf2:31

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