Ranking multivariate GARCH models by problem dimension : an empirical evaluation
Massimiliano Caporin and Michael McAleer
| Year of publication: |
[2011]
|
|---|---|
| Authors: | Caporin, Massimiliano ; McAleer, Michael |
| Institutions: | University of Canterbury / Dept. of Economics and Finance (contributor) |
| Publisher: |
Christchurch, N.Z : Dept. of Economics and Finance, College of Business and Economics, University of Canterbury |
| Subject: | ARCH-Modell | ARCH model | Modellierung | Scientific modelling | Varianzanalyse | Analysis of variance | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis |
| Extent: | Online-Ressource (40 p., 748,46 Kb) graph. Darst. |
|---|---|
| Series: | Working paper. - Christchurch, New Zealand, ZDB-ID 2579761-X. - Vol. 2011,23 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Includes bibliographical references (p. 29-32) Mode of access: World Wide Web Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009412785