Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion
Year of publication: |
2008
|
---|---|
Authors: | Sriananthakumar, Sivagowry ; Silvapulle, Paramsothy |
Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 18.2008, 4/6, p. 267-273
|
Subject: | Theorie | Theory | Korrelation | Correlation | ARCH-Modell | ARCH model | Heteroskedastizität | Heteroscedasticity | Multivariate Analyse | Multivariate analysis | Schätzung | Estimation |
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