Modeling covariance breakdowns in multivariate GARCH
Xin Jin, John M. Maheu
| Year of publication: |
September 2016
|
|---|---|
| Authors: | Jin, Xin ; Maheu, John M. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 194.2016, 1, p. 1-23
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| Subject: | Correlation breakdown | Marginal likelihood | Particle filter | Markov chain | Generalized variance | Markov-Kette | Korrelation | Correlation | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Varianzanalyse | Analysis of variance | Multivariate Analyse | Multivariate analysis | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.03.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011705024