MGARCH models: trade-off between feasibility and flexibility
Daniel de Almeida, Luiz K. Hotta, Esther Ruiz
| Year of publication: |
2018
|
|---|---|
| Authors: | Almeida, Daniel de ; Hotta, Luiz K. ; Ruiz, Esther |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 34.2018, 1, p. 45-63
|
| Subject: | BEKK | CCC | DCC | GARCH models | Multivariate time series | Variance targeting | Volatility forecasting | VECH | ARCH-Modell | ARCH model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2017.08.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012030840