Multivariate Leverage Effects and Realized Semicovariance GARCH Models
| dc.contributor.author | Bollerslev, T | |
| dc.contributor.author | Patton, AJ | |
| dc.contributor.author | Quaedvlieg, R | |
| dc.date.accessioned | 2019-07-02T13:43:34Z | |
| dc.date.available | 2019-07-02T13:43:34Z | |
| dc.date.issued | 2018-04-16 | |
| dc.date.updated | 2019-07-02T13:43:34Z | |
| dc.identifier.uri | ||
| dc.publisher | Elsevier BV | |
| dc.subject | High-Frequency Data | |
| dc.subject | Realized Volatility | |
| dc.subject | Realized Correlation | |
| dc.subject | Semivariance | |
| dc.subject | Asymmetric Dependence | |
| dc.title | Multivariate Leverage Effects and Realized Semicovariance GARCH Models | |
| dc.type | Journal article | |
| pubs.organisational-group | Trinity College of Arts & Sciences | |
| pubs.organisational-group | Duke | |
| pubs.organisational-group | Economics | |
| pubs.organisational-group | Faculty |
Files
Original bundle
1 - 1 of 1