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Search: subject:"bivariate t-GARCH"
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European industry portfolios
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Kalman filter
2
bivariate t-GARCH
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efficient Monte Carlo likelihood
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stochastic volatility
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Markov switching
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Time-varying beta risk
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time-varying beta risk
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Mergner, Sascha
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Bulla, Jan
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EconWPA
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Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques
Mergner, Sascha
-
EconWPA
-
2005
coefficient model are employed: a
bivariate
t
-
GARCH
(1,1) model, two Kalman filter based approaches as well as a bivariate …
Persistent link: https://www.econbiz.de/10005076972
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2
Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques
Mergner, Sascha
;
Bulla, Jan
-
EconWPA
-
2005
are employed: a
bivariate
t-GARCH
(1,1) model, two Kalman filter based approaches, a bivariate stochastic volatility model …
Persistent link: https://www.econbiz.de/10005077020
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