Forecasting Time-Varying Correlation using the Dynamic Conditional Correlation (DCC) Model
Year of publication: |
2014
|
---|---|
Authors: | Mapa, Dennis S. ; Paz, Nino Joseph I. ; Eustaquio, John D. ; Mindanao, Miguel Antonio C. |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | dynamic conditional correlation | Peso-Dollar exchange rate | PSE index | hedging |
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