A generalized dynamic conditional correlation model for many asset returns
Year of publication: |
2003-07-08
|
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Authors: | Hafner, C.M. ; Franses, Ph.H.B.F. |
Institutions: | Erasmus University Rotterdam, Econometric Institute |
Subject: | multivariate GARCH | dynamic conditional correlation |
Extent: | application/pdf |
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Series: | Econometric Institute Report. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:dgr:eureir Number EI 2003-18 |
Source: |
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