Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns
Year of publication: |
2002
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Authors: | Bera, Anil K. ; Kim, Sangwhan |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 9.2002, 2, p. 171-195
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Subject: | ARCH-Modell | ARCH model | Theorie | Theory | Korrelation | Correlation | Schätzung | Estimation | Aktienmarkt | Stock market | Industrieländer | Industrialized countries | 1990-1995 |
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