Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study
Year of publication: |
2008
|
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Authors: | Conrad, Christian ; Karanasos, Menelaos ; Zeng, Ning |
Publisher: |
Heidelberg : University of Heidelberg, Department of Economics |
Subject: | Kapitaleinkommen | Börsenkurs | Volatilität | Korrelation | ARCH-Modell | Multivariate Analyse | Theorie | Schätzung | Industrieländer | Asymmetric Power ARCH | Fractional integration | Stock returns | Volatility forecast evaluation |
Series: | Discussion Paper Series ; 472 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 576918075 [GVK] hdl:10419/127293 [Handle] RePEc:awi:wpaper:0472 [RePEc] |
Classification: | C13 - Estimation ; C22 - Time-Series Models ; C52 - Model Evaluation and Testing |
Source: |
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Conrad, Christian, (2008)
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Conrad, Christian, (2011)
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Conrad, Christian, (2008)
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Conrad, Christian, (2008)
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The link between macroeconomic performance and variability in the UK
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