Modeling covariance breakdowns in multivariate GARCH
Year of publication: |
September 2016
|
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Authors: | Jin, Xin ; Maheu, John M. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 194.2016, 1, p. 1-23
|
Subject: | Correlation breakdown | Marginal likelihood | Particle filter | Markov chain | Generalized variance | Markov-Kette | Korrelation | Correlation | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance | Multivariate Analyse | Multivariate analysis | Volatilität | Volatility | Börsenkurs | Share price |
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