Measuring Spot Variance Spillovers When (Co)Variances are Time-Varying - The Case of Multivariate GARCH Models
Year of publication: |
2016
|
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Authors: | Fengler, Matthias R. |
Other Persons: | Herwartz, Helmut (contributor) |
Publisher: |
[2016]: [S.l.] : SSRN |
Subject: | Theorie | Theory | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Varianzanalyse | Analysis of variance |
Extent: | 1 Online-Ressource (42 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 10, 2016 erstellt |
Other identifiers: | 10.2139/ssrn.2800209 [DOI] |
Classification: | C32 - Time-Series Models ; c58 ; F3 - International Finance ; G1 - General Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
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