Multivariate rotated ARCH models
Neil Shephard; Neil Shephard; Kevin Sheppard
| Year of publication: |
2014
|
|---|---|
| Authors: | Noureldin, Diaa ; Shephard, Neil G. ; Sheppard, Kevin |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 179.2014, 1, p. 16-30
|
| Subject: | RARCH | RBEKK | RDCC | Multivariate volatility | Covariance targeting | Common persistence | Volatilität | Volatility | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Korrelation | Correlation | Börsenkurs | Share price |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010258286