Identifying time variability in stock and interes rate dependence
Year of publication: |
2013
|
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Authors: | Stein, Michael ; Islami, Mevlud ; Lindemann, Jens |
Published in: |
Investment management and financial innovations. - Sumy : Publishing Company "Business Perspectives", ISSN 1810-4967, ZDB-ID 2467221-X. - Vol. 10.2013, 2, p. 73-83
|
Subject: | multivariate GARCH | smooth transition | conditional correlation | regime changes | Schätzung | Estimation | ARCH-Modell | ARCH model | Börsenkurs | Share price | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis | Theorie | Theory | Korrelation | Correlation |
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