Volatility co-movement and the great moderation: An empirical analysis
Year of publication: |
2016
|
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Authors: | Mumtaz, Haroon ; Theodoridis, Konstantinos |
Publisher: |
London : Queen Mary University of London, School of Economics and Finance |
Subject: | Vector-Autoregressions | Time-Varying parameters | Stochastic Volatility |
Series: | Working Paper ; 804 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 871663198 [GVK] hdl:10419/175241 [Handle] RePEc:qmw:qmwecw:wp804 [RePEc] |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; E32 - Business Fluctuations; Cycles |
Source: |
-
Volatility co-movement and the great moderation : an empirical analysis
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