Multivariate range-based EGARCH models
Lili Yan, Neil M. Kellard, Lyudmyla Lambercy
| Year of publication: |
2025
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|---|---|
| Authors: | Yan, Lili ; Kellard, Neil M. ; Lambercy, Lyudmyla |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier Science, ISSN 1057-5219, ZDB-ID 2029229-6. - Vol. 100.2025, Art.-No. 103983, p. 1-23
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| Subject: | DCC | EGARCH | EWMA | Portfolio modelling | Range-based covariance forecasting | ARCH-Modell | ARCH model | Theorie | Theory | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Multivariate Analyse | Multivariate analysis | 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.2025.103983 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015605469