Change‐point detection in the conditional correlation structure of multivariate volatility models
Year of publication: |
2020
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Authors: | Barassi, Marco R. ; Horváth, Lajos ; Zhao, Yuqian |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 38.2020, 2, p. 340-349
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Subject: | Change-point detection | Contagion effect | Monte Carlo simulation | Time varying correlation structure | Volatility processes | Volatilität | Volatility | Theorie | Theory | Korrelation | Correlation | Monte-Carlo-Simulation | ARCH-Modell | ARCH model | Schätzung | Estimation | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price |
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