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index options, one needs to incorporate an infinite activity jump component in the underlying asset return process, and also …
Persistent link: https://www.econbiz.de/10005699646
A new model is developed that augments a structural VAR specification with a GARCH covariance matrix. The model is utilised to study time series dependencies between three size-sorted portfolios from the Australian Stock Exchange. Even after accounting for contemporaneous correlations the...
Persistent link: https://www.econbiz.de/10005063659