Dynamic score-driven independent component analysis
Christian M. Hafner and Helmut Herwartz
| Year of publication: |
2023
|
|---|---|
| Authors: | Hafner, Christian M. ; Herwartz, Helmut |
| Subject: | Multivariate GARCH | Portfolio selection | Risk management | Structural vector autoregressions | VAR-Modell | VAR model | Portfolio-Management | Risikomanagement | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis | Theorie | Theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2021.2013244 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014448140