Realized beta GARCH : a multivariate GARCH model with realized measures of volatility
Peter Reinhard Hansen, Asger Lunde and Valeri Voev
| Year of publication: |
2014
|
|---|---|
| Authors: | Hansen, Peter Reinhard ; Lunde, Asger ; Voev, Valeri |
| Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 29.2014, 5, p. 774-799
|
| Subject: | ARCH-Modell | ARCH model | Betafaktor | Beta risk | Volatilität | Volatility | 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/10010414850