Modelling time-varying volatility interactions
In this paper, we propose an additive time-varying (or partially time-varying) multivariate model of volatility, where a time-dependent component is added to the extended vector GARCH process for modelling the dynamics of volatility interactions. In our framework, co-dependence in volatility is allo...
| Príomhchruthaitheoirí: | , |
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| Formáid: | Working paper |
| Teanga: | English |
| Foilsithe / Cruthaithe: |
University of Oxford
2021
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