Structural volatility impulse response function and asymptotic inference
Xiaochun Liu
| Year of publication: |
2018
|
|---|---|
| Authors: | Liu, Xiaochun |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 16.2018, 2, p. 316-339
|
| Subject: | causality-in-volatility | commodity and stock market volatilities | contemporaneous effects | correlation structural break | structural dynamic conditional comovement | Theorie | Theory | Volatilität | Volatility | Aktienmarkt | Stock market | Korrelation | Correlation | Strukturbruch | Structural break | ARCH-Modell | ARCH model | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbx029 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011987769