Theoretical and empirical properties of dynamic conditional correlation multivariate garch
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| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2001
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| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
8554 |
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| id | DE-604.BV035093101 |
| illustrated | Illustrated |
| indexdate | 2025-02-03T17:14:18Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016761185 |
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| physical | 43 S. graph. Darst. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
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| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spellingShingle | Engle, Robert F. 1942- Theoretical and empirical properties of dynamic conditional correlation multivariate garch National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Assets Prices Econometric models Correlation (Statistics) Risk management Stock price forecasting Econometric models Stock price forecasting United States |
| title | Theoretical and empirical properties of dynamic conditional correlation multivariate garch |
| title_auth | Theoretical and empirical properties of dynamic conditional correlation multivariate garch |
| title_exact_search | Theoretical and empirical properties of dynamic conditional correlation multivariate garch |
| title_full | Theoretical and empirical properties of dynamic conditional correlation multivariate garch Robert F. Engle ; Kevin Sheppard |
| title_fullStr | Theoretical and empirical properties of dynamic conditional correlation multivariate garch Robert F. Engle ; Kevin Sheppard |
| title_full_unstemmed | Theoretical and empirical properties of dynamic conditional correlation multivariate garch Robert F. Engle ; Kevin Sheppard |
| title_short | Theoretical and empirical properties of dynamic conditional correlation multivariate garch |
| title_sort | theoretical and empirical properties of dynamic conditional correlation multivariate garch |
| topic | Ökonometrisches Modell Assets Prices Econometric models Correlation (Statistics) Risk management Stock price forecasting Econometric models Stock price forecasting United States |
| topic_facet | Ökonometrisches Modell Assets Prices Econometric models Correlation (Statistics) Risk management Stock price forecasting Econometric models Stock price forecasting United States USA |
| url | http://papers.nber.org/papers/w8554.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT englerobertf theoreticalandempiricalpropertiesofdynamicconditionalcorrelationmultivariategarch AT sheppardkevin theoreticalandempiricalpropertiesofdynamicconditionalcorrelationmultivariategarch |