Principal volatility component analysis
Yu-Pin Hu; Ruey S. Tsay
| Year of publication: |
2014
|
|---|---|
| Authors: | Hu, Yu-Pin ; Tsay, Ruey S. |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 32.2014, 2, p. 153-177
|
| Subject: | Common volatility component | Conditional heteroscedasticity | Foreign exchange rate | Generalized covariance matrix | Generalized kurtosis matrix | Principal component analysis | Volatilität | Volatility | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model | Korrelation | Correlation | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Kommentare vh. |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010410764