On the univariate representation of BEKK models with common factors
Year of publication: |
2016
|
---|---|
Authors: | Hecq, Alain W. J. ; Laurent, Sébastien ; Palm, Franz C. |
Published in: |
Journal of time series econometrics. - Berlin : De Gruyter, ISSN 1941-1928, ZDB-ID 2493596-7. - Vol. 8.2016, 2, p. 91-113
|
Subject: | common GARCH | factor models | BEKK | final equations | ARCH-Modell | ARCH model | Volatilität | Volatility | Schätzung | Estimation | Kapitaleinkommen | Capital income | ARMA-Modell | ARMA model | Kausalanalyse | Causality analysis | Zeitreihenanalyse | Time series analysis | Theorie | Theory |
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