VAR modeling for dynamic loadings driving volatility strings
Year of publication: |
2008
|
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Authors: | Brüggemann, Ralf ; Härdle, Wolfgang ; Mungo, Julius ; Trenkler, Carsten |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 6.2008, 3, p. 361-381
|
Subject: | VAR-Modell | VAR model | Volatilität | Volatility | Finanzmarkt | Financial market |
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