Shifts in volatility driven by large stock market shocks
From MaRDI portal
Publication:1657558
DOI10.1016/j.jedc.2015.03.006zbMath1401.91558MaRDI QIDQ1657558
Elias Tzavalis, Yiannis Dendramis, George Kapetanios
Publication date: 13 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2015.03.006
91G70: Statistical methods; risk measures
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