A multivariate asymmetric long memory conditional volatility model with x, regularity and asymptotics
Manabu Asai (Faculty of Economics, Soka University), Michael McAleer (Department of Quantitative Finance, National Tsing Hua University, Taiwan and Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands and Department of Quantitative Economics, Complutense University of Madrid, Spain and Institute of Advanced Sciences, Yokohama National University)
| Year of publication: |
August 2016
|
|---|---|
| Authors: | Asai, Manabu ; McAleer, Michael |
| Publisher: |
[Rotterdam] : [Econometric Institute, Erasmus School of Economics] |
| Subject: | Multivariate Analyse | Multivariate analysis | VAR-Modell | VAR model | ARMA-Modell | ARMA model | ARCH-Modell | ARCH model | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
freely available
| Extent: | 1 Online-Ressource (circa 13 Seiten) |
|---|---|
| Series: | Econometric Institute research papers. - Rotterdam : [Verlag nicht ermittelbar], ZDB-ID 2169625-1. - Vol. EI2016-34 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Other identifiers: | hdl:1765/93333 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011541169