Modeling multivariate autoregressive conditional heteroskedasticity with the double smooth transition conditional correlation GARCH model
Annastiina Silvennoinen; Timo Teräsvirta
| Year of publication: |
2009
|
|---|---|
| Authors: | Silvennoinen, Annastiina ; Teräsvirta, Timo |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 7.2009, 4, p. 373-411
|
| Subject: | ARCH-Modell | ARCH model | Ökonometrie | Econometrics | Volatilität | Volatility |
| 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/10003907524