Structural GARCH : the volatility-leverage connection
Year of publication: |
February 2018
|
---|---|
Authors: | Engle, Robert F. ; Siriwardane, Emil N. |
Published in: |
The review of financial studies. - Cary, NC : Oxford Univ. Press, ISSN 0893-9454, ZDB-ID 1043666-2. - Vol. 31.2018, 2, p. 449-492
|
Subject: | Kapitalstruktur | Capital structure | Risikomanagement | Risk management | ARCH-Modell | ARCH model | Eigenkapital | Equity capital | Volatilität | Volatility |
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