Estimating VAR-MGARCH models in multiple steps
M. Angeles Carnero and M. Hakan Eratalay
| Year of publication: |
2014
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|---|---|
| Authors: | Carnero, M. Angeles ; Eratalay, M. Hakan |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 18.2014, 3, p. 339-365
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| Subject: | financial markets | volatility spillovers | Volatilität | Volatility | Finanzmarkt | Financial market | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Theorie | Theory | Schätzung | Estimation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Other identifiers: | 10.1515/snde-2012-0065 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010384281