نتایج جستجو برای: multivariate models

تعداد نتایج: 1006359  

Journal: :Journal of risk and financial management 2023

We estimate the risk spillover among European banks from equity log-return data via Conditional Value at Risk (CoVaR). The joint dynamic of returns is modeled with a spatial DCC-GARCH which allows conditional variance log-returns each bank to depend on past volatility shocks other and their squared in parsimonious way. backtesting resulting measures provides evidence that (i) multivariate GARCH...

Journal: :Acta Universitatis Lodziensis. Folia Oeconomica 2019

Journal: :Journal of the American Statistical Association 2014

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