Asymptotics of Cholesky GARCH models and time-varying conditional betas
Year of publication: |
2018-01-18
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Authors: | Darolles, Serges ; Francq, Christian ; Laurent, Sébastien |
Type of publication: | Book / Working Paper |
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Language: | English |
Notes: | Darolles, Serges and Francq, Christian and Laurent, Sébastien (2018): Asymptotics of Cholesky GARCH models and time-varying conditional betas. |
Classification: | C5 - Econometric Modeling ; c58 |
Source: | BASE |
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