A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations
Y. K. Tse; Albert K. C. Tsui
| Year of publication: |
2002
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|---|---|
| Authors: | Tse, Yiu Kuen ; Tsui, Albert K. |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 20.2002, 3, p. 351-362
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| Subject: | ARCH-Modell | ARCH model | Theorie | Theory | Korrelation | Correlation | Heteroskedastizität | Heteroscedasticity | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätzung | Estimation | Wechselkurs | Exchange rate | Aktienindex | Stock index | Singapur | Singapore | Hongkong | Hong Kong |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: Journal of business & economic statistics |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001695276