VAR modeling for dynamic loadings driving volatility strings
Year of publication: |
2008
|
---|---|
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 |
-
Transmission of volatility shocks between the equity and foreign exchange markets in South Africa
Bonga-Bonga, Lumengo, (2013)
-
Asymmetric connectedness on the US stock market : bad and good volatility spillovers
Baruník, Jozef, (2015)
-
Cermeño, Rodolfo, (2016)
- More ...
-
VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings
Brüggemann, Ralf, (2017)
-
VAR modeling for dynamic semiparametric factors of volatility strings
Brüggemann, Ralf, (2006)
-
VAR Modeling for Dynamic Loadings Driving Volatility Strings
Brüggemann, Ralf, (2016)
- More ...