Publicação
Models with multiplicative decomposition of conditional variances and correlations
| Resumo: | Univariate and multivariate GARCH type models with multiplicative decomposition of the variance to short and long run components are surveyed. The latter component can be either deterministic or stochastic. Examples of both types are studied. |
|---|---|
| Autores principais: | Amado, Cristina |
| Outros Autores: | Silvennoinen, Annastiina; Teräsvirta, Timo |
| Assunto: | Conditional heteroskedasticity Deterministically varying correlations Multiplicative decomposition Nonstationary volatility |
| Ano: | 2018 |
| País: | Portugal |
| Tipo de documento: | working paper |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade do Minho |
| Idioma: | inglês |
| Origem: | RepositóriUM - Universidade do Minho |
| Resumo: | Univariate and multivariate GARCH type models with multiplicative decomposition of the variance to short and long run components are surveyed. The latter component can be either deterministic or stochastic. Examples of both types are studied. |
|---|