Dynamic conditional correlation multiplicative error processes
Taras Bodnar, Nikolaus Hautsch
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Bodnar, Taras ; Hautsch, Nikolaus |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 36.2016, p. 41-67
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| Subject: | Multiplicative error model | Trading processes | Gaussian domain | DCC-GARCH | Liquidity risk | Theorie | Theory | Handelsvolumen der Börse | Trading volume | Marktliquidität | Market liquidity | Wertpapierhandel | Securities trading | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2015.12.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011662746