A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Drew Creal; Siem Jan Koopman; André Lucas
| Year of publication: |
2011
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|---|---|
| Authors: | Creal, Drew ; Koopman, Siem Jan ; Lucas, André |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 29.2011, 4, p. 552-563
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| Subject: | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Multivariate Verteilung | Multivariate distribution | Korrelation | Correlation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009355592