Multivariate GARCH models
| Contribuinte(s) |
Andersen, T.G. Davis, R.A. Kreiß, J-P. Mikosch, Th. |
|---|---|
| Data(s) |
2009
|
| Formato |
application/pdf |
| Identificador | |
| Publicador |
Springer-Verlag |
| Relação |
http://eprints.qut.edu.au/32315/1/c32315.pdf http://www.springer.com/statistics/business%2C+economics+%26+finance/book/978-3-540-71296-1 Silvennoinen, Annastiina & Teräsvirta, Timo (2009) Multivariate GARCH models. In Andersen, T.G., Davis, R.A., Kreiß, J-P., & Mikosch, Th. (Eds.) Handbook of Financial Time Series. Springer-Verlag, Germany, Berlin, pp. 201-232. |
| Direitos |
Copyright 2009 Springer |
| Fonte |
QUT Business School; School of Economics & Finance |
| Palavras-Chave | #140302 Econometric and Statistical Methods #140305 Time-Series Analysis #Time Series Analysis #Multivariate GARCH models #Conditional variance #Conditional correlations |
| Tipo |
Book Chapter |
