Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
Menelaos Karanasos, Stavroula Yfanti, Michail Karoglou
| Year of publication: |
May 2016
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|---|---|
| Authors: | Karanasos, Menelaos ; Yfanti, Stavroula ; Karoglou, Michail |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 45.2016, p. 332-349
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| Subject: | Contagion effects | Dynamic conditional correlation | Financial crisis | Long memory | Multivariate | GARCH | Structural breaks | Finanzkrise | Korrelation | Correlation | ARCH-Modell | ARCH model | Finanzmarkt | Financial market | Multivariate Analyse | Multivariate analysis | Strukturbruch | Structural break | Zeitreihenanalyse | Time series analysis | Ansteckungseffekt | Contagion effect | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2014.09.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011583871