A Multivariate Markov-Switching GARCH Model with Copula-Distributed Innovations
Year of publication: |
[2021]
|
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Authors: | Fülle, Markus J. ; Herwartz, Helmut |
Publisher: |
[S.l.] : SSRN |
Subject: | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Innovation | Multivariate Analyse | Multivariate analysis | Theorie | Theory |
Extent: | 1 Online-Ressource (43 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 22, 2021 erstellt |
Other identifiers: | 10.2139/ssrn.3947734 [DOI] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; C51 - Model Construction and Estimation ; c58 ; G11 - Portfolio Choice |
Source: | ECONIS - Online Catalogue of the ZBW |
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