Wavelet-based multi-resolution GARCH model for financial spillover effects
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Publication:554615
DOI10.1016/j.matcom.2011.04.003zbMath1218.91172MaRDI QIDQ554615
Publication date: 4 August 2011
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2011.04.003
wavelet analysis; financial risk; spillover effects; BEKK-GARCH model; multi-resolution decomposition
91G70: Statistical methods; risk measures
62M15: Inference from stochastic processes and spectral analysis
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Cites Work
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