Hybrid MSV-MGARCH models : general remarks and the GMSF-SBEKK specification
Jacek Osiewalski, Krzysztof Osiewalski
| Year of publication: |
2016
|
|---|---|
| Authors: | Osiewalski, Jacek ; Osiewalski, Krzysztof |
| Published in: |
Central European journal of economic modelling and econometrics. - Lodz : Polish Academy of Sciences, ISSN 2080-0886, ZDB-ID 2529553-6. - Vol. 8.2016, 4, p. 241-271
|
| Subject: | Bayesian econometrics | multivariate volatility models | MGARCH processes | MSV processes | financial markets | commodity markets | Volatilität | Volatility | ARCH-Modell | ARCH model | Finanzmarkt | Financial market | Theorie | Theory | Rohstoffmarkt | Commodity market | Bayes-Statistik | Bayesian inference | Multivariate Analyse | Multivariate analysis | Ökonometrie | Econometrics |
| 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/10011634930