DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Luc Bauwens, Yongdeng Xu
| Year of publication: |
2023
|
|---|---|
| Authors: | Bauwens, Luc ; Xu, Yongdeng |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 39.2023, 2, p. 938-955
|
| Subject: | Correlation forecasting | Dynamic conditional correlation | Equicorrelation | High-frequency data | Multivariate volatility | Volatilität | Volatility | Korrelation | Correlation | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Varianzanalyse | Analysis of variance | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2022.03.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014465168