Department of Economics and Business Economics

Models with Multiplicative Decomposition of Conditional Variances and Correlations

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  • rp18_14

    Final published version, 711 KB, PDF-document

    Cristina Amado, University of Minho and NIPE, PortugalAnnastiina Silvennoinen, Queensland University of Technology QUT, Australia
  • Timo Terasvirta
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.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages47
Publication statusPublished - 25 Apr 2018
SeriesCREATES Research Papers
Number2018-14

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