Multivariate Leverage Effects and Realized Semicovariance GARCH Models
Year of publication: |
2018
|
---|---|
Authors: | Bollerslev, Tim |
Other Persons: | Patton, Andrew J. (contributor) ; Quaedvlieg, Rogier (contributor) |
Publisher: |
[2018]: [S.l.] : SSRN |
Subject: | ARCH-Modell | ARCH model | Volatilität | Volatility | Kapitaleinkommen | Capital income | Multivariate Analyse | Multivariate analysis | Modellierung | Scientific modelling | Theorie | Theory |
Extent: | 1 Online-Ressource (49 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 16, 2018 erstellt |
Other identifiers: | 10.2139/ssrn.3164361 [DOI] |
Classification: | C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; c58 |
Source: | ECONIS - Online Catalogue of the ZBW |
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