Travail de recherche/Working paper
Titre: |
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Auteur: | Barigozzi, Matteo; Hallin, Marc |
Statut de publication: | Publié, 2015-06 |
series: | ECARES Working Papers, ECARES 2015-22 |
Sujet CREF: | Economie |
Sujet JEL: | Multiple or Simultaneous Equation Models: Time-Series Models |
Volumes/pages: | 23 p. |
Mots-clés: | volatility |
dynamic factor models | |
GARCH models | |
Langue: | Anglais |
Identificateurs: | RePEc:eca:wpaper:2013/200436 |