Models with Multiplicative Decomposition of Conditional Variances and Correlations

Publikation: Working paperForskning

Dokumenter

  • rp18_14

    Forlagets udgivne version, 711 KB, PDF-dokument

  • Cristina Amado, University of Minho and NIPE, Portugal
  • Annastiina Silvennoinen, Queensland University of Technology QUT, Australien
  • 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.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider47
StatusUdgivet - 25 apr. 2018
SerietitelCREATES Research Papers
Nummer2018-14

    Forskningsområder

  • Conditional heteroskedasticity, Deterministically varying correlations, Multiplicative decomposition, Nonstationary volatility

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