A multivariate GARCH-jump mixture model
Chenxing Li, John M. Maheu
| Year of publication: |
2024
|
|---|---|
| Authors: | Li, Chenxing ; Maheu, John M. |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 43.2024, 1, p. 182-207
|
| Subject: | beta dynamics | co-jump | jumps | multinomial | multivariate GARCH | value at risk | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Multivariate Analyse | Multivariate analysis | Volatilität | Volatility | Portfolio-Management | Portfolio selection | CAPM | Betafaktor | Beta risk | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014443194