Identification of structural multivariate GARCH models
Christian M. Hafner, Helmut Herwartz and Simone Maxand
| Year of publication: |
[2018]
|
|---|---|
| Authors: | Hafner, Christian M. ; Herwartz, Helmut ; Maxand, Simone |
| Publisher: |
[Louvain-la-Neuve] : CORE |
| Subject: | Structural innovations | identifying assumptions | MGARCH | portfolio risk | volatility transmission | ARCH-Modell | ARCH model | Volatilität | Volatility | Modellierung | Scientific modelling | Multivariate Analyse | Multivariate analysis | Portfolio-Management | Portfolio selection | Theorie | Theory | Innovation |
freely available
| Extent: | 1 Online-Ressource (circa 52 Seiten) |
|---|---|
| Series: | CORE discussion papers : DP. - Louvain-la-Neuve : [Verlag nicht ermittelbar], ZDB-ID 2220482-9. - Vol. 2018, 20 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Other identifiers: | hdl:2078.1/201087 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011993276