Sökning: "Tomoaki Nakatani"

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1. 1. Four Essays on Building Conditional Correlation GARCH Models

   Författare :Tomoaki Nakatani; Handelshögskolan i Stockholm; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis consists of four research papers. The main focus is on building the multivariate Conditional Correlation (CC-) GARCH models. In particular, emphasis lies on considering an extension of CC-GARCH models that allow for interactions or causality in conditional variances. LÄS MER