Multivariate time series models for asset prices

DOI10.1007/978-3-642-17254-0_5MaRDI QIDQ3112455zbMATH OpenOpenAlexFDO

Authors Christian M. Hafner, Hans Manner

Publication date 10 January 2012

Published in Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-17254-0_5

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

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Cited in

(6)

• Modeling asset prices
• COMFORT: a common market factor non-Gaussian returns model
• Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series
• Multivariate volatility models
• Dynamic factor multivariate GARCH model
• Multivariate asset price dynamics with stochastic covariation

Describes a project that uses

Uses Software

• CAViaR

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