Structured Multivariate Volatility Models
Year of publication: |
[2009]
|
---|---|
Authors: | Caporin, Massimiliano |
Other Persons: | Paruolo, Paolo (contributor) |
Publisher: |
[2009]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Volatilität | Volatility | Multivariate Analyse | Multivariate analysis | ARCH-Modell | ARCH model | Schätzung | Estimation | Deutschland | Germany | Großbritannien | United Kingdom | Wechselkurs | Exchange rate |
Extent: | 1 Online-Ressource (39 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 20, 2008 erstellt |
Other identifiers: | 10.2139/ssrn.1318639 [DOI] |
Classification: | C31 - Cross-Sectional Models; Spatial Models ; C32 - Time-Series Models ; G11 - Portfolio Choice |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Proximity-Structured Multivariate Volatility Models
Caporin, Massimiliano, (2013)
-
Modelling exchange rates volatility with multivariate long-memory ARCH processes
Teyssière, Gilles, (1999)
-
Change-Point Detection in the Covariance Structure of Multivariate Volatility Models
Barassi, Marco R., (2017)
- More ...
-
Proximity-structured multivariate volatility models
Caporin, Massimiliano, (2015)
-
Proximity-Structured Multivariate Volatility Models
Caporin, Massimiliano, (2013)
-
Proximity-Structured Multivariate Volatility Models
Caporin, Massimiliano, (2015)
- More ...