Conditional correlation in asset return and GARCH intensity model

DOI10.1007/s10182-013-0219-8zbMath1443.62340arXiv1311.4977OpenAlexW3098106777WikidataQ58941506 ScholiaQ58941506MaRDI QIDQ1621670

Kyungsub Lee, Geon Ho Choe

Publication date: 9 November 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.4977

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites Work

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