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Autoregressive conditional heteroskedasticity / Stochastic volatility / Volatility / Markov chain / Normal distribution / Maximum likelihood / Markov switching multifractal / Statistics / Mathematical finance / Mathematical sciences


Portfolio Single Index (PSI) Multivariate Volatility Models
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Document Date: 2013-01-15 17:38:49

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City

Brisbane / /

Company

Kraft / /

Country

Australia / Japan / /

Currency

pence / /

Facility

University of Western Australia / Soka University / University of Western Australia Keywords / /

MarketIndex

MSV / GARCH / /

Organization

Japan Society for the Promotion of Science / Soka University / Econometric Society / Faculty of Economics / Australian Research Council / University of Western Australia Keywords / Australian Academy of Science / University of Western Australia / /

Position

author / first author / second author / /

ProvinceOrState

Western Australia / /

PublishedMedium

Econometric Theory / Review of Economic Studies / Biometrika / Review of Economics and Statistics / Journal of Econometrics / /

Region

Western Australia / /

Technology

simulation / /

SocialTag