Flexible multivariate GARCH modeling with an application to international stock markets
Olivier Ledoit; Pedro Santa-Clara and Michael Wolf
| Year of publication: |
2003
|
|---|---|
| Authors: | Ledoit, Olivier ; Santa-Clara, Pedro ; Wolf, Michael |
| Published in: |
The review of economics and statistics. - Cambridge, Mass. : MIT Press, ISSN 0034-6535, ZDB-ID 207962-8. - Vol. 85.2003, 3, p. 735-747
|
| Subject: | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Aktienmarkt | Stock market | Welt | World | 1975-2000 |
| 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/10001791792