The Multivariate GARCH Model and its Application to East Asian Financial Market Integration

DOI10.1142/9789811202391_0123zbMath1451.91191OpenAlexW3080258154MaRDI QIDQ5139572

Tatsuyoshi Miyakoshi, Yoshihiko Tsukuda, Junji Shimada

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0123

zbMATH Keywords

dynamic conditional correlationDCC (dynamic conditional correlation)-GARCH (generalized autoregressive conditional heteroscedasticity) modeldynamic conditional variance decompositionEast Asian bond and stock marketsfinancial market integration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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