Forecasting VAR Models in the Presence of Regime Shifts in Variance and Egarch Effects
Year of publication: |
2012
|
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Authors: | Dendramis, Yiannis |
Other Persons: | Spungin, Giles E. (contributor) ; Tzavalis, Elias (contributor) |
Publisher: |
[2012]: [S.l.] : SSRN |
Subject: | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Theorie | Theory | VAR-Modell | VAR model | Volatilität | Volatility | ARCH-Modell | ARCH model |
Extent: | 1 Online-Ressource (30 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 11, 2012 erstellt |
Other identifiers: | 10.2139/ssrn.2003466 [DOI] |
Classification: | C10 - Econometric and Statistical Methods: General. General ; C22 - Time-Series Models ; G10 - General Financial Markets. General |
Source: | ECONIS - Online Catalogue of the ZBW |
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