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10:00 am
Matthias R. FENGLER (University of St.Gallen) “Proxy-identification of a structural MGARCH model for asset returns”
Finance & Financial Econometrics : Time: 10.30 am Date: 13th of February 2025 Room 3001 Matthias R. FENGLER (University of St.Gallen) "Proxy-identification of a structural MGARCH model for asset returns" Abstract : Organizers: We extend the multivariate GARCH (MGARCH) specification for volatility modeling by developing a structural MGARCH model that targets the identification of shocks […]
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