Surveillance of Univariate and Multivariate Nonlinear Time Series

Financial Surveillance

Volumn , Issue , 2008, Pages 153-177

  Okhrin, Yarema ^a   Schmid, Wolfgang ^a  

^a EUROPEAN UNIVERSITY VIADRINA   (Germany)

Author keywords

Covariance matrix and target value; GARCH (Generalized AutoRegressive Conditional Heteroscedasticity); Local volatility measure; Maximum average delay; Multivariate GARCH processes; Squared observations and conditional variance; Stochastic volatility and conditional heteroscedasticity; Symmetric control interval; Univariate time series and multivariate time series

Indexed keywords

COVARIANCE MATRIX; STOCHASTIC SYSTEMS;

AVERAGE DELAY; CONDITIONAL HETEROSCEDASTICITY; CONDITIONAL VARIANCE; GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY; LOCAL VOLATILITY MEASURE; MULTIVARIATE GARCH; MULTIVARIATE TIME SERIES; SYMMETRIC CONTROL INTERVAL; TARGET VALUES;

TIME SERIES;

EID: 84954461510     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1002/9780470987179.ch6     Document Type: Chapter

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