Volatility analysis during the Asia crisis: a multivariate GARCH-M model for stock returns in the U.S., Germany and Japan
DOI10.1002/asmb.427zbMath0967.91067OpenAlexW2122464869MaRDI QIDQ2722295
Publication date: 11 July 2001
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.427
MCMC methodsmarginal likelihoods criterionstructural break point and model selectionVAR-GARCH-M models
Computational methods in Markov chains (60J22) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Monte Carlo methods (65C05) Economic time series analysis (91B84) Numerical analysis or methods applied to Markov chains (65C40)
Cites Work
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