Identifying time variability in stock and interes rate dependence
Michael Stein; Mevlud Islami; Jens Lindemann
| Year of publication: |
2013
|
|---|---|
| Authors: | Stein, Michael ; Islami, Mevlud ; Lindemann, Jens |
| Published in: |
Investment management and financial innovations. - Sumy : Publishing Company "Business Perspectives", ISSN 1810-4967, ZDB-ID 2467221-X. - Vol. 10.2013, 2, p. 73-83
|
| Subject: | multivariate GARCH | smooth transition | conditional correlation | regime changes | ARCH-Modell | ARCH model | Volatilität | Volatility | Börsenkurs | Share price | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis | Schätzung | Estimation |
| Extent: | graph. Darst. |
|---|---|
| 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/10010201094