Efficient estimation of a multivariate multiplicative volatility model
Christian M. Hafner; Oliver Linton
| Year of publication: |
2010
|
|---|---|
| Authors: | Hafner, Christian M. ; Linton, Oliver |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 159.2010, 1, p. 55-73
|
| Subject: | Volatilität | Volatility | Schätztheorie | Estimation theory | Multivariate Analyse | Multivariate analysis | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008839940