An adaptive long memory conditional correlation model
Year of publication: |
2024
|
---|---|
Authors: | Dark, Jonathan |
Published in: |
Journal of empirical finance. - [Erscheinungsort nicht ermittelbar] : Elsevier Science, ISSN 0927-5398, ZDB-ID 1496810-1. - Vol. 75.2024, Art.-No. 101463, p. 1-16
|
Subject: | Dynamic conditional correlation | Flexible Fourier form | Forecasting | Long memory | Penalised MLE | Smooth structural change | ARCH-Modell | ARCH model | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model |
-
Multivariate models with long memory dependence in conditional correlation and volatility
Dark, Jonathan, (2018)
-
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc, (2023)
-
Estimation and forecasting of dynamic conditional covariance : a semiparametric multivariate model
Long, Xiangdong, (2011)
- More ...
-
Maharaj, Elizabeth A., (2008)
-
Exchange traded contracts for difference: Design, pricing, and effects
Brown, Christine, (2010)
-
Influence diagnostics for multivariate GARCH processes
Dark, Jonathan, (2010)
- More ...