Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
Year of publication: |
2010-01-01
|
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Authors: | Caporin, Massimiliano ; McAleer, Michael |
Institutions: | Department of Economics and Finance, College of Business and Economics |
Subject: | Conditional correlations | conditional covariances | diagonal models | forecasting | generalized models | Hadamard models | scalar models | targeting |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | 20 pages |
Classification: | C32 - Time-Series Models ; G11 - Portfolio Choice ; G17 - Financial Forecasting ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
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Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
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