Dynamic conditional correlation : on properties and estimation
Year of publication: |
2013
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Authors: | Aielli, Gian Piero |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 31.2013, 3, p. 282-299
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Subject: | Generalized profile likelihood | Integrated correlation | Multivariate GARCH model | Quasi-maximum-likelihood | Two-step estimation | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Korrelation | Correlation | Multivariate Analyse | Multivariate analysis |
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