Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations
Year of publication: |
2005
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Authors: | Silvennoinen, Annastiina ; Teräsvirta, Timo |
Publisher: |
Stockholm : Stockholm School of Economics, The Economic Research Institute (EFI) |
Subject: | Multivariate Analyse | ARCH-Modell | Börsenkurs | Volatilität | Multivariate GARCH | Constant conditional correlation | Dynamic conditional correlation | Return comovement | Volatility model evaluation |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 479062986 [GVK] hdl:10419/56262 [Handle] |
Classification: | C12 - Hypothesis Testing ; C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; G10 - General Financial Markets. General |
Source: |
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Silvennoinen, Annastiina, (2007)
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Silvennoinen, Annastiina, (2005)
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Silvennoinen, Annastiina, (2005)
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