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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| ID Code: | 32315 |
|---|---|
| Item Type: | Book Chapter |
| Additional URLs: | |
| Keywords: | Time Series Analysis, Multivariate GARCH models, Conditional variance, Conditional correlations |
| ISBN: | 9783540712961 |
| 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: | 24 May 2010 08:02 |
| Last Modified: | 11 Aug 2011 03:49 |
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