Robust score and portmanteau tests of volatility spillover
Mike Aguilar; Jonathan B. Hill
| Year of publication: |
2015
|
|---|---|
| Authors: | Aguilar, Mike ; Hill, Jonathan B. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 184.2015, 1, p. 37-61
|
| Subject: | Volatility spillover | Heavy tails | Tail trimming | Robust inference | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Theorie | Theory | Robustes Verfahren | Robust statistics | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model |
| 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/10011326820