A network autoregressive model with GARCH effects and its applications.
In this study, a network autoregressive model with GARCH effects, denoted by NAR-GARCH, is proposed to depict the return dynamics of stock market indices. A GARCH filter is employed to marginally remove the GARCH effects of each index, and the NAR model with the Granger causality test and Pearson�...
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| Autores principales: | , , |
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| Formato: | article |
| Lenguaje: | EN |
| Publicado: |
Public Library of Science (PLoS)
2021
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| Materias: | |
| Acceso en línea: | https://doaj.org/article/6194f0a76dc647c4bb7773293a3f3553 |
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