Model and Distribution Uncertainty in Multivariate GARCH Estimation : A Monte Carlo Analysis
Year of publication: |
2011
|
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Authors: | Rossi, Eduardo ; Spazzini, Filippo |
Publisher: |
[S.l.] : SSRN |
Subject: | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Volatilität | Volatility | Kointegration | Cointegration | Monte-Carlo-Simulation | Monte Carlo simulation |
Description of contents: | Abstract [papers.ssrn.com] |
Extent: | 1 Online-Ressource |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Computational Statistics & Data Analysis, Vol. 54, No. 11, pp. 2786-2800, November 1, 2010 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 19, 2009 erstellt Volltext nicht verfügbar |
Source: | ECONIS - Online Catalogue of the ZBW |
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