On a bivariate hysteretic AR-GARCH model with conditional asymmetry in correlations
Cathy W. S. Chen, Hong Than-Thi, Manabu Asai
| Year of publication: |
2021
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|---|---|
| Authors: | Chen, Cathy W. S. ; Than-Thi, Hong ; Asai, Manabu |
| Subject: | Hysteretic GARCH model | Hysteresis variable | Time-varying correlation | Multivariate time series | Out-of-sample forecast | Value-at-risk | ARCH-Modell | ARCH model | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Hysterese | Hysteresis | Risikomaß | Risk measure | Multivariate Analyse | Multivariate analysis | VAR-Modell | VAR model | Schätztheorie | Estimation theory | Volatilität | Volatility |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-020-10034-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012615031