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Economics / Volatility / VIX / Copula / Autoregressive conditional heteroskedasticity / Financial risk modeling / Stochastic volatility / Markov switching multifractal / Mathematical finance / Statistics / Mathematical sciences


Regime switches in the volatility and correlation of financial institutions Working Paper Research by K. Boudt, J. Daníelsson, S.J. Koopman and A. Lucas
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Document Date: 2012-10-09 06:32:37

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File Size: 2,01 MB

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City

Brussels / /

Country

United States / /

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Facility

Tinbergen Institute / Financial Institutions Kris Boudt∗ KU Leuven/Lessius V.U. University / Siem Jan Koopman V.U. University Amsterdam Tinbergen Institute Andre Lucas V.U. University / /

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IndustryTerm

deposit bank sector / bank return series / oil prices / bank / /

MarketIndex

Saint Louis Financial Stability / /

Organization

London School of Economics / Board of Directors of the National Bank of Belgium Editoral On / Dutch Science Foundation / National Bank of Belgium / /

Person

Jan Koopman V / Joshua Ulrich / Gale / Hans Dewachter / Kris Boudt / Shin / Adrian / Charles Bos / David Ardia / Allen / Laurent / /

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Position

driver / Director Jan Smets / Officer / Editorial Director / /

URL

www.nbb.be / http /

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