Time-varying autoregressive distributed lag model with changing volatility for stress test
Leilei Zhou, Wei Zhu
| Year of publication: |
2021
|
|---|---|
| Authors: | Zhou, Leilei ; Zhu, Wei |
| Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 14.2020/2021, 2, p. 195-208
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| Subject: | financial supervision | stress tests | time-varying parameter | forecast | volatilities | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Schätzung | Estimation | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Stresstest | Stress test | Bankenaufsicht | Banking supervision | Schätztheorie | Estimation theory |
| 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/10012613982