Estimation of volatility and correlation with multivariate generalized autoregressive conditional heteroskedasticity models : an application to Moroccan stock markets
Yassine Belasri, Rachid Ellaia
| Year of publication: |
2017
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|---|---|
| Authors: | Belasri, Yassine ; Ellaia, Rachid |
| Published in: |
International journal of economics and financial issues : IJEFI. - Mersin : EconJournals, ISSN 2146-4138, ZDB-ID 2632572-X. - Vol. 7.2017, 2, p. 384-396
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| Subject: | Volatility | Correlation | Multivariate Generalized Autoregressive Conditional Heteroskedasticity | Diagonal Baba | Engle | Kraft and Kroner | Dynamic Conditional Correlation | Stock Markets | Morocco | Korrelation | ARCH-Modell | ARCH model | Volatilität | Marokko | Schätztheorie | Estimation theory | Schätzung | Estimation | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income |
| 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://ebvufind01.dmz1.zbw.eu/10011789279