Volatility analysis during the Asia crisis: a multivariate GARCH-M model for stock returns in the U.S., Germany and Japan (Q2722295)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Volatility analysis during the Asia crisis: a multivariate GARCH-M model for stock returns in the U.S., Germany and Japan |
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Volatility analysis during the Asia crisis: a multivariate GARCH-M model for stock returns in the U.S., Germany and Japan (English)
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11 July 2001
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VAR-GARCH-M models
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MCMC methods
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marginal likelihoods criterion
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structural break point and model selection
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