Department of Economics and Business Economics

Timo Teräsvirta

Positivity constraints on the conditional variances in the family of conditional correlation GARCH models

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Positivity constraints on the conditional variances in the family of conditional correlation GARCH models. / Nakatani, Tomoaki; Teräsvirta, Timo.

In: Finance Research Letters, Vol. 5, No. 2, 2008, p. 88-95.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

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Nakatani, Tomoaki ; Teräsvirta, Timo. / Positivity constraints on the conditional variances in the family of conditional correlation GARCH models. In: Finance Research Letters. 2008 ; Vol. 5, No. 2. pp. 88-95

Bibtex

@article{633471a0ff5411dda987000ea68e967b,
title = "Positivity constraints on the conditional variances in the family of conditional correlation GARCH models",
author = "Tomoaki Nakatani and Timo Ter{\"a}svirta",
year = "2008",
doi = "10.1016/j.frl.2008.02.001",
language = "English",
volume = "5",
pages = "88--95",
journal = "Finance Research Letters",
issn = "1544-6123",
publisher = "Academic Press",
number = "2",

}

RIS

TY - JOUR

T1 - Positivity constraints on the conditional variances in the family of conditional correlation GARCH models

AU - Nakatani,Tomoaki

AU - Teräsvirta,Timo

PY - 2008

Y1 - 2008

U2 - 10.1016/j.frl.2008.02.001

DO - 10.1016/j.frl.2008.02.001

M3 - Journal article

VL - 5

SP - 88

EP - 95

JO - Finance Research Letters

T2 - Finance Research Letters

JF - Finance Research Letters

SN - 1544-6123

IS - 2

ER -