Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Bahram Pesaran; M. Hashem Pesaran
| Year of publication: |
July 2007
|
|---|---|
| Other Persons: | Pesaran, Bahram (contributor) ; Pesaran, M. Hashem (contributor) |
| Publisher: |
München : CESifo |
| Subject: | Währungsderivat | Currency derivative | Futures | Volatilität | Volatility | Korrelation | Correlation | Multivariate Analyse | Multivariate analysis | Statistische Verteilung | Statistical distribution | VAR-Modell | VAR model | Theorie | Theory | Schätzung | Estimation | EU-Staaten | EU countries | Termingeschäft | Multivariate Normalverteilung |
| Extent: | Online-Ressource, 35 S. = 403 KB, Text graph. Darst. |
|---|---|
| Series: | CESifo working papers. - München : [Verlag nicht ermittelbar], ISSN 2364-1428, ZDB-ID 2065232-X. - Vol. 2056 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Other identifiers: | hdl:10419/26101 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003499671