Multivariate Volatility Models

DOI10.1007/978-3-540-69179-2_15zbMath1307.91194OpenAlexW1507731694MaRDI QIDQ3542264

Helmut Herwartz, Matthias R. Fengler

Publication date: 1 December 2008

Published in: Applied Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/4278

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistical methods; economic indices and measures (91B82)

This page was built for publication: Multivariate Volatility Models