Change‐point detection in the conditional correlation structure of multivariate volatility models
Marco Barassi, Lajos Horváth, Yuqian Zhao
| Year of publication: |
2020
|
|---|---|
| Authors: | Barassi, Marco R. ; Horváth, Lajos ; Zhao, Yuqian |
| Subject: | Change-point detection | Contagion effect | Monte Carlo simulation | Time varying correlation structure | Volatility processes | Volatilität | Volatility | Monte-Carlo-Simulation | Korrelation | Correlation | ARCH-Modell | ARCH model | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2018.1505630 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012262479