Modelling scale consistent VAR with the truncated Lévy flight
Thorsten Lehnert and Christian C. P. Wolff
| Year of publication: |
2001
|
|---|---|
| Authors: | Lehnert, Thorsten |
| Other Persons: | Wolff, Christiaan Cornelis Petrus (contributor) ; Wolff, Christian C. P. (contributor) |
| Publisher: |
London : Centre for Economic Policy Research |
| Subject: | Börsenkurs | Share price | Volatilität | Volatility | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Schätzung | Estimation | USA | United States | Großbritannien | United Kingdom | Japan | Hongkong | Hong Kong | 1984-2000 |
| Extent: | 27, [10] S graph. Darst |
|---|---|
| Series: | Discussion paper / Centre for Economic Policy Research. - London, ISSN 0265-8003, ZDB-ID 1442064-8. - Vol. 2711 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013423320