A DCC-type approach for realized covariance modeling with score-driven dynamics
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
|
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 |
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