The spline GARCH model for unconditional volatility and its global macroeconomic causes / Robert F. Engle y Jose Gonzalo Rangel.
Tipo de material:
TextoIdioma: Inglés Series CNB Working paper series ; 13/2005Detalles de publicación: Praha, Czech Republic : Czech National Bank, 2005.Descripción: 28 páginas : ilustraciones a blanco y negro ; 30 cmTema(s): Clasificación LoC:- HG 970 .3 .A1W6 13/2005
Contenidos:
Nontechnical Summary, 2 -- 1. Introduction, 3 -- 2. A Model of Financial Volatility in a Macroeconomic Environment, 4 -- 3. A New Time Series Model for Conditional and Unconditional Volatility, 5 -- 4. Data Sources, 10 -- 5. Cross-Sectional Analysis of Unconditional Volatilities, 12 -- 6. Country Heterogeneity, 18 -- 7. Realized Volatility, 22 -- Concluding remarks, 25.
| Tipo de ítem | Biblioteca actual | Signatura | Estado | Fecha de vencimiento | Código de barras |
|---|---|---|---|---|---|
| Monografía - Colección General | SUCURSAL JUAN PABLO DUARTE Estantería | HG 970 .3 .A1W6 13/2005 (Navegar estantería(Abre debajo)) | Disponible | 1033919 |
Nontechnical Summary, 2 -- 1. Introduction, 3 -- 2. A Model of Financial Volatility in a Macroeconomic Environment, 4 -- 3. A New Time Series Model for Conditional and Unconditional Volatility, 5 -- 4. Data Sources, 10 -- 5. Cross-Sectional Analysis of Unconditional Volatilities, 12 -- 6. Country Heterogeneity, 18 -- 7. Realized Volatility, 22 -- Concluding remarks, 25.
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