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Flexible Multivariate GARCH Modeling with an Application to International Stock Markets

✍ Scribed by Olivier Ledoit, Pedro Santa-Clara and Michael Wolf

Book ID
125775439
Publisher
MIT Press
Year
2003
Tongue
English
Weight
484 KB
Volume
85
Category
Article
ISSN
0034-6535

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πŸ“œ SIMILAR VOLUMES

A flexible parametric GARCH model with a
A flexible parametric GARCH model with an application to exchange rates
✍ Kai-Li Wang; Christopher Fawson; Christopher B. Barrett; James B. McDonald πŸ“‚ Article πŸ“… 2001 πŸ› John Wiley and Sons 🌐 English βš– 132 KB

## Abstract Many asset prices, including exchange rates, exhibit periods of stability punctuated by infrequent, substantial, often one‐sided adjustments. Statistically, this generates empirical distributions of exchange rate changes that exhibit high peaks, long tails, and skewness. This paper intr