Multivariate GARCH for a large number of stocks
Year of publication: |
2016
|
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Authors: | Raddant, Matthias ; Wagner, Friedrich |
Publisher: |
Kiel : Kiel Institute for the World Economy (IfW) |
Subject: | Multivarite GARCH models | CAPM | market risk |
Series: | Kiel Working Paper ; 2049 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 880703547 [GVK] hdl:10419/155283 [Handle] RePEc:zbw:ifwkwp:2049 [RePEc] |
Classification: | c58 ; c55 ; G12 - Asset Pricing |
Source: |
-
Multivariate GARCH for a large number of stocks
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Multivariate GARCH for a large number of stocks
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