Volatility of a Market Index and its Components: An Application to Commodity Markets
| Year of publication: |
2002-07-01
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|---|---|
| Authors: | WATKINS, Clinton ; McALEER, Michael |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | cross-sectional aggregation | GARCH | index contracts | volatility |
| Extent: | application/pdf |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 18 |
| Classification: | C22 - Time-Series Models ; C43 - Index Numbers and Aggregation ; C51 - Model Construction and Estimation |
| Source: |
Persistent link: https://www.econbiz.de/10005345409