Testing for volatility interactions in the constant conditional correlation GARCH model
Tomoaki Nakatani and Timo Teräsvirta
| Year of publication: |
2009
|
|---|---|
| Authors: | Nakatani, Tomoaki ; Teräsvirta, Timo |
| Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 12.2009, 1, p. 147-163
|
| Subject: | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Finanzmarkt | Financial market | Volatilität | Volatility | Finanzmathematik | Mathematical finance | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003841983