DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Luc Bauwens and Yongdeng Xu
| Year of publication: |
[2019]
|
|---|---|
| Authors: | Bauwens, Luc ; Xu, Yongdeng |
| Publisher: |
Louvain-la-Neuve : CORE |
| Subject: | Dynamic conditional correlations | Forecasting | Multivariate HEAVY | Multivariate GARCH | Realized correlations | ARCH-Modell | ARCH model | Korrelation | Correlation | Multivariate Analyse | Multivariate analysis | Varianzanalyse | Analysis of variance | Volatilität | Volatility | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model |
freely available