A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
Year of publication: |
2009
|
---|---|
Authors: | Hafner, Christian ; Franses, Philip Hans |
Published in: |
Econometric Reviews. - Taylor & Francis Journals, ISSN 0747-4938. - Vol. 28.2009, 6, p. 612-631
|
Publisher: |
Taylor & Francis Journals |
Subject: | Dynamic conditional correlation | Multivariate GARCH |
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