Multivariate normal mixture GARCH
Year of publication: |
2006
|
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Authors: | Haas, Markus ; Mittnik, Stefan ; Paolella, Marc S. |
Institutions: | Center for Financial Studies |
Subject: | Conditional Volatility | Regime-dependent Correlations | Leverage Effect | Multivariate GARCH | Second-order Dependence |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 2006/09 |
Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation ; G10 - General Financial Markets. General ; G11 - Portfolio Choice |
Source: |
-
Multivariate normal mixture GARCH
Haas, Markus, (2006)
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Multivariate Normal Mixture GARCH
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Asymmetric multivariate normal mixture GARCH
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