Asymmetric volatility impulse response functions (Q2681836): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1016/j.econlet.2022.110968 / rank | |||
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| Property / OpenAlex ID: W4312221642 / rank | |||
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| Property / cites work: Handbook of Volatility Models and Their Applications / rank | |||
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| Property / cites work: Stationarity and geometric ergodicity of BEKK multivariate GARCH models / rank | |||
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| Property / cites work: Asymptotic theory for multivariate GARCH processes. / rank | |||
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| Property / cites work: Identification of structural multivariate GARCH models / rank | |||
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| Property / cites work: On asymptotic theory for multivariate GARCH models / rank | |||
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Latest revision as of 09:21, 31 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymmetric volatility impulse response functions |
scientific article |
Statements
Asymmetric volatility impulse response functions (English)
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30 January 2023
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multivariate GARCH
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leverage effect
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volatility impulse response analysis
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safe-haven
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