Linear time-varying regression with a DCC-GARCH model for volatility
Jong-Min Kim, Hojin Jung and Li Qin
| Year of publication: |
April 2016
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|---|---|
| Authors: | Kim, Jong-Min ; Jung, Hojin ; Qin, Li |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 48.2016, 16/18, p. 1573-1582
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| Subject: | Volatility | time-varying parameter | forecasting | DCC-GARCH | Volatilität | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Regressionsanalyse | Regression analysis | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2015.1102853 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011456689