An adaptive long memory conditional correlation model
Jonathan Dark
| Year of publication: |
2024
|
|---|---|
| Authors: | Dark, Jonathan |
| Subject: | Dynamic conditional correlation | Flexible Fourier form | Forecasting | Long memory | Penalised MLE | Smooth structural change | Korrelation | Correlation | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | ARMA-Modell | ARMA model | Prognoseverfahren | Forecasting model | Strukturbruch | Structural break | Schätztheorie | Estimation theory | Strukturwandel | Structural change |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2023.101463 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014491877