Prediction of risk : decoding the serial dependence of stock return volatility with copula
Liang Zhu, Christine Lim, Jianlun Zhang
| Year of publication: |
2021
|
|---|---|
| Authors: | Zhu, Liang ; Lim, Christine ; Zhang, Jianlun |
| Subject: | copula-based model | hospitality and tourism-related stock return volatility | risk prediction | serial dependence | Volatilität | Volatility | Multivariate Verteilung | Multivariate distribution | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1177/1096348020919490 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012426080