Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations
Cristina Amado; Timo Teräsvirta
| Year of publication: |
2014
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|---|---|
| Authors: | Amado, Cristina ; Teräsvirta, Timo |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 32.2014, 1, p. 69-87
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| Subject: | Forecasting | Multivariate GARCH model | Nonlinear time series | Portfolio allocation | Time-varying unconditional variance | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Volatilität | Volatility | Korrelation | Correlation | Schätzung | Estimation | Nichtlineare Regression | Nonlinear regression | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Varianzanalyse | Analysis of variance | Aktienindex | Stock index |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010380478