Asymmetric volatility impulse response functions
Year of publication: |
2023
|
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Authors: | Hafner, Christian M. ; Herwartz, Helmut |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 222.2023, p. 1-6
|
Subject: | Multivariate GARCH | Leverage effect | Volatility impulse response analysis | Safe-haven | Theorie | Theory | Volatilität | Volatility | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Aktienmarkt | Stock market |
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