Variance (non) causality in multivariate GARCH
Year of publication: |
2007
|
---|---|
Authors: | Caporin, Massimiliano |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 26.2007, 1, p. 1-24
|
Subject: | ARCH-Modell | ARCH model | Kausalanalyse | Causality analysis | Multivariate Analyse | Multivariate analysis | Index-Futures | Index futures | Theorie | Theory | Italien | Italy | 2001 |
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