Vine-Copula GARCH Model with Dynamic Conditional Dependence
Year of publication: |
2013
|
---|---|
Authors: | So, Mike K. P. |
Other Persons: | Yeung, Cherry Y.T. (contributor) |
Publisher: |
[2013]: [S.l.] : SSRN |
Subject: | ARCH-Modell | ARCH model | Volatilität | Volatility | Theorie | Theory |
Extent: | 1 Online-Ressource (28 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 13, 2013 erstellt |
Other identifiers: | 10.2139/ssrn.2305743 [DOI] |
Classification: | C13 - Estimation ; C32 - Time-Series Models ; C51 - Model Construction and Estimation |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Relating Stochastic Volatility Estimation Methods
Bos, Charles S., (2011)
-
Spatial GARCH : A Spatial Approach to Multivariate Volatility Modeling
Borovkova, Svetlana, (2012)
-
The Limiting Properties of the QMLE in a General Class of Asymmetric Volatility Models
Dahl, Christian, (2008)
- More ...
-
Vine-copula GARCH model with dynamic conditional dependence
So, Mike K.P., (2014)
-
Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models
Asai, Manabu, (2020)
-
Statistical disclosure control for continuous variables using an extended skew‐t copula
Chu, Amanda M. Y., (2021)
- More ...