Volatility Spillovers and Heavy Tails : A Large T-Vector Autoregressive Approach
Year of publication: |
2017
|
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Authors: | Barbaglia, Luca |
Other Persons: | Croux, Christophe (contributor) ; Wilms, Ines (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Theorie | Theory | Autokorrelation | Autocorrelation | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution |
Extent: | 1 Online-Ressource (27 p) |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 2017 erstellt |
Other identifiers: | 10.2139/ssrn.3068730 [DOI] |
Classification: | c58 ; C32 - Time-Series Models ; q02 |
Source: | ECONIS - Online Catalogue of the ZBW |
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