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Search: subject:"Multivariate GARCH model"
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ARCH model
22
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multivariate GARCH model
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Volatility
16
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ECONIS (ZBW)
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51
A
Multivariate
GARCH
Model
with Time-Varying correlations
Tse, Y. K.
;
Tsui, Albert K. C.
-
EconWPA
-
2000
In this paper we propose a new
multivariate
GARCH
model
with time- varying correlations. We adopt the vech …
Persistent link: https://www.econbiz.de/10005119111
Saved in:
52
The Relationships Among Stocks, Bonds and Gold: Safe Haven, Hedge or Neither?
Chiang, Shu-Mei
;
Lin, Chi-Tai
;
Huang, Chien-Ming
-
ToKnowPress
This paper applies a
multivariate
GARCH
model
to analyze the interdependence among gold, stocks and bonds price …
Persistent link: https://www.econbiz.de/10010713877
Saved in:
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