Multivariate GARCH and dynamic copula models for financial time series : with an application to emerging markets
Year of publication: |
2015 ; 1. Aufl.
|
---|---|
Authors: | Grziska, Martin |
Publisher: |
Berlin : Pro Business |
Subject: | Finanzmarktökonometrie | Financial econometrics | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Marktintegration | Market integration | Schwellenländer | Emerging economies | Portfolio-Management | Portfolio selection | Industrieländer | Industrialized countries | Portfolio Selection | Marktrisiko | Risikomanagement | GARCH-Prozess |
Description of contents: | Table of Contents [gbv.de] ; Description [deposit.dnb.de] |
Extent: | XVI, 175 S. graph. Darst. 210 mm x 148 mm, 260 g |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Hochschulschrift ; Thesis |
Language: | English |
Thesis: | Zugl.: München, Univ., Diss., 2014 |
Notes: | Zsfassung in dt. Sprache |
ISBN: | 978-3-86386-843-7 |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Jensen, Sören, (2012)
-
Global risk evolution and diversification : a Copula-DCC-GARCH model approach
Righi, Marcelo Brutti, (2012)
-
Multivariate Copula-Modelle für Finanzmarktdaten : eine simulative und empirische Untersuchung
Köck, Christian, (2008)
- More ...
-
Chinas Integration in die Weltwirtschaft: Chancen und Gefahren
Schrooten, Mechthild, (2004)
-
Modelling Asymmetric Dependence of Financial Returns with Multivariate Dynamic Copulas
Braun, Valentin, (2016)
-
Chinas Integration in die Weltwirtschaft: Chancen und Gefahren
Schrooten, Mechthild, (2004)
- More ...