Multivariate leverage effects and realized semicovariance GARCH models
Tim Bollerslev, Andrew J. Patton, Rogier Quaedvlieg
| Year of publication: |
2020
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|---|---|
| Authors: | Bollerslev, Tim ; Patton, Andrew J. ; Quaedvlieg, Rogier |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 217.2020, 2, p. 411-430
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| Subject: | High-frequency data | Realized volatility | Asymmetric dependence | Realized correlation | Semivariance | Volatilität | Volatility | ARCH-Modell | ARCH model | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Multivariate Analyse | Multivariate analysis | Marktmikrostruktur | Market microstructure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.12.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012482780