Models with multiplicative decomposition of conditional variances and correlations
Description
Univariate and multivariate GARCH type models with multiplicative decomposition
of the variance to short and long run components are surveyed. The latter
component can be either deterministic or stochastic. Examples of both types are
studied.
Impact and interest:
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| ID Code: | 209624 | ||
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| Item Type: | Chapter in Book, Report or Conference volume (Chapter) | ||
| Series Name: | Routledge Advances in Applied Financial Econometrics | ||
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| Measurements or Duration: | 44 pages | ||
| Additional URLs: | |||
| Keywords: | Conditional heteroskedasticity, Multiplicative decomposition, Deterministically varying correlations | ||
| DOI: | 10.4324/9781315162737 | ||
| ISBN: | 9780367785581 | ||
| Pure ID: | 81417976 | ||
| Divisions: | Past > QUT Faculties & Divisions > QUT Business School Current > Schools > School of Economics & Finance |
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| Copyright Owner: | 2019 selection and editorial matter, Julien Chevallier, Stéphane Goutte, David Guerreiro, Sophie Saglio and Bilel Sanhaji; individual chapters, the contributors | ||
| Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to qut.copyright@qut.edu.au | ||
| Deposited On: | 13 Apr 2021 06:56 | ||
| Last Modified: | 29 Apr 2024 07:40 |
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