Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model
| Year of publication: |
2022
|
|---|---|
| Authors: | Fengler, Matthias ; Polivka, Jeanine |
| Publisher: |
Kiel, Hamburg : ZBW - Leibniz Information Centre for Economics |
| Series: | |
|---|---|
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Conference Paper |
| Language: | English |
| Other identifiers: | hdl:10419/264010 [Handle] RePEc:zbw:vfsc22:264010 [RePEc] |
| Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation ; c58 ; G12 - Asset Pricing |
| Source: |
Persistent link: https://www.econbiz.de/10013359224