Identification of structural multivariate GARCH models
Christian M. Hafner, Helmut Herwartz, Simone Maxand
| Year of publication: |
2022
|
|---|---|
| Authors: | Hafner, Christian M. ; Herwartz, Helmut ; Maxand, Simone |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 227.2022, 1, p. 212-227
|
| Subject: | Identifying assumptions | MGARCH | Portfolio risk | Structural innovations | Volatility transmission | Volatilität | Volatility | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Innovation | Modellierung | Scientific modelling | Multivariate Analyse | Multivariate analysis | Theorie | Theory | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.07.019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013441647