Showing 1 - 10 of 76
Persistent link: https://www.econbiz.de/10000972739
Persistent link: https://www.econbiz.de/10001729364
The constant conditional correlation GARCH model is probably the most frequently applied multivariate GARCH model. In this paper we consider an extension to this model and examine its fourth-moment structure. The extension, first considered by Jeantheau (1998), is motivated by the result found...
Persistent link: https://www.econbiz.de/10001693116
Persistent link: https://www.econbiz.de/10000881462
Persistent link: https://www.econbiz.de/10000881476
Persistent link: https://www.econbiz.de/10000978581
Persistent link: https://www.econbiz.de/10000919174
Persistent link: https://www.econbiz.de/10000928592
Persistent link: https://www.econbiz.de/10000930911
Persistent link: https://www.econbiz.de/10000995008