Positivity constraints on the conditional variances in the family of conditional correlation GARCH models
Tomoaki Nakatani, Timo Teräsvirta
| Year of publication: |
2008
|
|---|---|
| Authors: | Nakatani, Tomoaki ; Teräsvirta, Timo |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 5.2008, 2, p. 88-95
|
| Subject: | Finanzmarkt | Financial market | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Mathematische Optimierung | Mathematical programming | Zeitreihenanalyse | Time series analysis | Japan | 1983-2006 |
| 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/10003751298