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Search: subject:"Persistence in variance"
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Persistence in variance
4
Co-persistence in variance
3
ARCH model
2
Börsenkurs
2
Capital income
2
Decay coefficient
2
Kapitaleinkommen
2
Share price
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Vector GARCH (VGARCH)
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Analysis of variance
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Asse pricing
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Exchange rate dynamics
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Factor GARCH
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Finanzkrise
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Long memory Integrated-GARCH (I-GARCH)
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Market crashes
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Nichtlineare Regression
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Nonlinear dependence
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Bollerslev, Tim
1
Engle, Robert F.
1
Escanciano, Juan Carlos
1
Hualde, Javier
1
Li, Chang-Shuai
1
Li, Chang-shuai
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1
Measuring asset market linkages : nonlinear dependence and tail risk
Escanciano, Juan Carlos
;
Hualde, Javier
-
2017
Persistent link: https://www.econbiz.de/10011763135
Saved in:
2
Common persistence in conditional variance : a reconsideration
Li, Chang-shuai
- In:
Economic modelling
29
(
2012
)
5
,
pp. 1809-1819
Persistent link: https://www.econbiz.de/10009667096
Saved in:
3
Common persistence in conditional variance: A reconsideration
Li, Chang-Shuai
- In:
Economic Modelling
29
(
2012
)
5
,
pp. 1809-1819
, and both the weak definition of persistence and co-
persistence
in
variance
, this study attempts to solve the problems by …
Persistent link: https://www.econbiz.de/10010597530
Saved in:
4
Common Persistence in Conditional Variances
Bollerslev, Tim
;
Engle, Robert F.
-
1994
to a multivariate framework. Even though many time series may exhibit
persistence
in
variance
, it is likely that several …
Persistent link: https://www.econbiz.de/10009475524
Saved in:
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