Models with multiplicative decomposition of conditional variances and correlations
Year of publication: |
2019
|
---|---|
Authors: | Amado, Cristina ; Silvennoinen, Annastiina ; Teräsvirta, Timo |
Published in: |
Financial mathematics, volatility and covariance modelling. - London : Routledge, ISBN 978-1-138-06094-4. - 2019, p. 217-260
|
Subject: | Theorie | Theory | Korrelation | Correlation | ARCH-Modell | ARCH model | Dekompositionsverfahren | Decomposition method |
-
Modeling conditional covariances with economic information instruments
Turtle, Harry J., (2014)
-
Copula-MGARCH with continuous covariance decomposition
Herwartz, Helmut, (2015)
-
Models with multiplicative decomposition of conditional variances and correlations
Amado, Cristina, (2018)
- More ...
-
Models with multiplicative decomposition of conditional variances and correlations
Amado, Cristina, (2018)
-
Modelling and forecasting WIG20 daily returns
Amado, Cristina, (2017)
-
Modelling conditional and unconditional heteroskedasticity with smoothly time-varying structure
Amado, Cristina, (2008)
- More ...