Common Persistence in Conditional Variances (Q5289304)
From MaRDI portal
scientific article; zbMATH DE number 279333
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Common Persistence in Conditional Variances |
scientific article; zbMATH DE number 279333 |
Statements
Common Persistence in Conditional Variances (English)
0 references
22 August 1993
0 references
co-persistence in variance
0 references
generalized autoregressive conditional heteroskedasticity
0 references
factor GARCH
0 references
exchange rate dynamics
0 references
integrated generalized ARCH
0 references
IGARCH models
0 references
time series
0 references
persistence in variance
0 references
multivariate linear GARCH model
0 references
linear co-integration
0 references
asset pricing relationships
0 references
optimal portfolio allocation
0 references
