A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
Markus Haas, Ji-Chun Liu
| Year of publication: |
Jun 2018
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|---|---|
| Authors: | Haas, Markus ; Liu, Ji-Chun |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 22.2018, 3, p. 1-27
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| Subject: | conditional volatility | covariance forecasts | Markov-switching | multivariate GARCH | ARCH-Modell | ARCH model | Volatilität | Volatility | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis | Schätzung | Estimation | Börsenkurs | Share price |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2016-0019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011897499