OpenAlex
Modeling covariance breakdowns in multivariate GARCH
Work
Year: 2016
Type: article
Source: Journal of Econometrics
Authors Xin Jin, John M. Maheu
Institutions Shanghai University of Finance and Economics, McMaster University
Cites: 40
Cited by: 6
Related to: 10
FWCI: 1.462
Citation percentile (by year/subfield): 81.89
Topic: Financial Risk and Volatility Modeling
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Open Access status: green
Funder Social Sciences and Humanities Research Council of Canada
Grant ID 435-2014-2015