Proximity-structured multivariate volatility models
Massimiliano Caporin and Paolo Paruolo
| Year of publication: |
2015
|
|---|---|
| Authors: | Caporin, Massimiliano ; Paruolo, Paolo |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 34.2015, 1/5, p. 559-593
|
| Subject: | GARCH | Realized volatility | Spatial models | Stochastic volatility | Weight matrices | Volatilität | Volatility | ARCH-Modell | ARCH model | Theorie | Theory | Stochastischer Prozess | Stochastic process | Multivariate Analyse | Multivariate analysis | Schätzung | Estimation | Wechselkurs | Exchange rate | Zeitreihenanalyse | Time series analysis |
| Extent: | graph. Darst. |
|---|---|
| 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/10011373256