Multivariate moments expansion density : application of the dynamic equicorrelation model
Trino-Manuel Ñíguez, Javier Perote
| Year of publication: |
November 2016
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|---|---|
| Authors: | Ñíguez, Trino-Manuel ; Perote, Javier |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 72.2016, suppl., p. 216-232
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| Subject: | Density forecasting | Dynamic equicorrelation | Gram-Charlier series | Multivariate GARCH | Semi-nonparametric methods | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Multivariate Analyse | Multivariate analysis | Volatilität | Volatility | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.12.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011637138