Showing 1 - 10 of 81
Persistent link: https://www.econbiz.de/10000959364
Persistent link: https://www.econbiz.de/10000959372
Persistent link: https://www.econbiz.de/10000995305
Persistent link: https://www.econbiz.de/10000971380
Persistent link: https://www.econbiz.de/10000971403
Persistent link: https://www.econbiz.de/10000971912
Persistent link: https://www.econbiz.de/10000962234
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/10001729364