AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE (Q5696353): Difference between revisions
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| Property / cites work: Common Persistence in Conditional Variances / rank | |||
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| Property / cites work: MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS / rank | |||
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| Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank | |||
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| Property / cites work: The second moment and the autocovariance function of the squared errors of the GARCH model / rank | |||
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| Property / cites work: Properties of moments of a family of GARCH processes / rank | |||
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Latest revision as of 16:42, 10 June 2024
scientific article; zbMATH DE number 2215545
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE |
scientific article; zbMATH DE number 2215545 |
Statements
AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE (English)
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18 October 2005
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bivariate GARCH(1,1) model
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