An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model
Year of publication: |
2006-01
|
---|---|
Authors: | Vargas, Gregorio A. |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | asymmetric effect | block dynamic conditional correlation | multivariate GARCH |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in The Philippine Statistician 1-2.55(2006): pp. 83-102 |
Classification: | C32 - Time-Series Models ; G10 - General Financial Markets. General ; C5 - Econometric Modeling |
Source: |
-
Price and volatility dynamics between securitized real estate spot and futures markets
Shi, Jing, (2013)
-
Testing the random walk hypothesis for leading cryptocurrencies
Palamalai, Srinivasan, (2021)
-
Multivariate normal mixture GARCH
Haas, Markus, (2006)
- More ...
-
Macroeconomic Determinants of the Movement of the Yield Curve
Vargas, Gregorio A., (2005)
-
What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?
Vargas, Gregorio A., (2008)
-
An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model
Vargas, Gregorio A., (2006)
- More ...