A DCC-type approach for realized covariance modeling with score-driven dynamics
Danilo Vassallo, Giuseppe Buccheri, Fulvio Corsi
| Year of publication: |
2021
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|---|---|
| Authors: | Vassallo, Danilo ; Buccheri, Giuseppe ; Corsi, Fulvio |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 37.2021, 2, p. 569-586
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| Subject: | Covariance forecasting | Dynamic dependencies | Estimation errors | Realized covariance | Score-driven models | Korrelation | Correlation | Schätztheorie | Estimation theory | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2020.07.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012792854