Multivariate rotated ARCH models
Year of publication: |
2014
|
---|---|
Authors: | Noureldin, Diaa ; Shephard, Neil G. ; Sheppard, Kevin |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 179.2014, 1, p. 16-30
|
Subject: | RARCH | RBEKK | RDCC | Multivariate volatility | Covariance targeting | Common persistence | Volatilität | Volatility | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Korrelation | Correlation | Börsenkurs | Share price | Großbritannien | United Kingdom |
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