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  • Search: subject:"structural dynamic conditional comovement"
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ARCH model 1 ARCH-Modell 1 Aktienmarkt 1 Börsenkurs 1 Correlation 1 Estimation theory 1 Korrelation 1 Schätztheorie 1 Share price 1 Stock market 1 Structural break 1 Strukturbruch 1 Time series analysis 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1 causality-in-volatility 1 commodity and stock market volatilities 1 contemporaneous effects 1 correlation structural break 1 structural dynamic conditional comovement 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Liu, Xiaochun 1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics 1
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Structural volatility impulse response function and asymptotic inference
Liu, Xiaochun - In: Journal of financial econometrics : official journal of … 16 (2018) 2, pp. 316-339
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