Improving forecasts with the co-range dynamic conditional correlation model
Piotr Fiszeder, Marcin Fałdziński
| Year of publication: |
2019
|
|---|---|
| Authors: | Fiszeder, Piotr ; Fałdziński, Marcin |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 108.2019, p. 1-16
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| Subject: | Covariance forecasting | Currency rates | GARCH model | Range-based models | Simulation study | Volatility models | ARCH-Modell | ARCH model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Korrelation | Correlation | Theorie | Theory | Wechselkurs | Exchange rate | Simulation | Prognose | Forecast |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2019.103736 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012313608