Measuring spot variance spillovers when (co)variances are time-varying : the case of multivariate GARCH models
Matthias R. Fengler and Helmut Herwartz
| Year of publication: |
2018
|
|---|---|
| Authors: | Fengler, Matthias ; Herwartz, Helmut |
| Subject: | ARCH-Modell | ARCH model | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Varianzanalyse | Analysis of variance | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/obes.12191 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011969544