Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Anthony D. Hall, Annastiina Silvennoinen and Timo Teräsvirta
| Year of publication: |
2021
|
|---|---|
| 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 | ARCH-Modell | ARCH model | Korrelation | Correlation | Volatilität | Volatility | Multivariate Analyse | Multivariate analysis | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Australien | Australia | Schätzung | Estimation | Bank |
freely available
| Extent: | 1 Online-Ressource (circa 50 Seiten) Illustrationen |
|---|---|
| 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 |
Persistent link: https://www.econbiz.de/10012815962