Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH
by Robert F. Engle and Kevin Sheppard
| Year of publication: |
2001
|
|---|---|
| Authors: | Engle, Robert F. ; Sheppard, Kevin |
| Publisher: |
La Jolla, CA |
| Subject: | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Theorie | Theory |
| Extent: | 43 S graph. Darst |
|---|---|
| Series: | Discussion paper / Department of Economics, University of California San Diego. - San Diego, Calif., ZDB-ID 2437630-9. - Vol. 2001,15 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Internetausg.: http://www.econ.ucsd.edu/papers/files/2001-15.pdf |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001618448