On the devolatised returns and dynamic conditional correlations GARCH modelling in selected European indices
Stavros Stavroyiannis (Department of Accounting and Finance, School of Management and Economics, Technological Educational Institute of Peloponnese, Antikalamos, Greece), Leonidas Zarangas (Department of Accounting and Finance, School of Management and Economics, Technological Educational Institute of Epirus, Arta, Greece)
| Year of publication: |
2015
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| Authors: | Stavroyiannis, Stavros ; Zarangas, Leonidas P. |
| Published in: |
Global business & economics review. - Olney, Bucks : Inderscience Enterprises, ISSN 1097-4954, ZDB-ID 2054200-8. - Vol. 17.2015, 3, p. 256-267
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| Subject: | financial time series | devolatised returns | dynamic conditional correlations | generalised autogressive conditional heteroscedastic | GARCH | value-at-risk | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Korrelation | Correlation | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Volatilität | Volatility |
| 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/10011498510