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conditional volatility
GARCH
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BEKK
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multivariate GARCH
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GARCH models
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asymptotic distribution
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dynamic correlation
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heavy tail
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portmanteau statistic
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Vector autoregressive moving-average process
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Chuffart, Thomas
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Selection Criteria in Regime Switching Conditional Volatility Models
Chuffart, Thomas
- In:
Econometrics
3
(
2015
)
2
,
pp. 289-316
Smooth Transition
GARCH
and the Markov-Switching
GARCH
models. Simulation experiments reveal that information criteria and …
Persistent link: https://www.econbiz.de/10011276476
Saved in:
2
Selection criteria in regime switching conditional volatility models
Chuffart, Thomas
- In:
Econometrics
3
(
2015
)
2
,
pp. 289-316
Smooth Transition
GARCH
and the Markov-Switching
GARCH
models. Simulation experiments reveal that information criteria and …
Persistent link: https://www.econbiz.de/10011755282
Saved in:
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