Multivariate GARCH models
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.
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|Item Type:||Book Chapter|
|Keywords:||Time Series Analysis, Multivariate GARCH models, Conditional variance, Conditional correlations|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300) > Econometric and Statistical Methods (140302)
Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300) > Time-Series Analysis (140305)
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
|Copyright Owner:||Copyright 2009 Springer|
|Deposited On:||23 May 2010 22:02|
|Last Modified:||10 Aug 2011 17:49|
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