Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Year of publication: |
2021
|
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Authors: | Hall, Anthony D. ; Silvennoinen, Annastiina ; Teräsvirta, Timo |
Publisher: |
Aarhus, Denmark : Department of Economics and Business Economics, Aarhus University |
Subject: | Unconditional correlation | modelling volatility | modelling correlations | multivariate autoregressive conditional heteroskedasticity | Korrelation | Correlation | ARCH-Modell | ARCH model | Volatilität | Volatility | Multivariate Analyse | Multivariate analysis | Australien | Australia | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Schätzung | Estimation | Börsenkurs | Share price |
Extent: | 1 Online-Ressource (circa 50 Seiten) Illustrationen |
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Series: | CREATES research paper. - Aarhus : [Verlag nicht ermittelbar], ZDB-ID 2490360-7. - Vol. 2021, 13 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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