A generalised stochastic volatility in mean VAR
Haroon Mumtaz
| Year of publication: |
2018
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|---|---|
| Authors: | Mumtaz, Haroon |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 173.2018, p. 10-14
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| Subject: | Error covariance | Stochastic volatility in mean | VAR | Volatilität | Volatility | Theorie | Theory | Stochastischer Prozess | Stochastic process | VAR-Modell | VAR model | Risikomaß | Risk measure | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2018.08.044 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012022862