Forecasting time-varying covariance with a range-based dynamic conditional correlation model
| Year of publication: |
2009
|
|---|---|
| Authors: | Chou, Ray ; Wu, Chun-Chou ; Liu, Nathan |
| Published in: |
Review of Quantitative Finance and Accounting. - Springer. - Vol. 33.2009, 4, p. 327-345
|
| Publisher: |
Springer |
| Subject: | CARR | DCC | Dynamic covariance | Range | Volatility |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008531529