Asymptotics of Cholesky GARCH models and time-varying conditional betas
Serge Darolles, Christian Francq, Sébastien Laurent
| Year of publication: |
June 2018
|
|---|---|
| Authors: | Darolles, Serge ; Francq, Christian ; Laurent, Sébastien |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 204.2018, 2, p. 223-247
|
| Subject: | Multivariate-GARCH | Conditional betas | Covariance | ARCH-Modell | ARCH model | CAPM | Betafaktor | Beta risk | Schätztheorie | Estimation theory | Korrelation | Correlation | Risikoprämie | Risk premium | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.02.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011974730