Modeling the dependence of conditional correlations on market volatility
Luc Bauwens, Edoardo Otranto
| Year of publication: |
April 2016
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|---|---|
| Authors: | Bauwens, Luc ; Otranto, Edoardo |
| 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. 34.2016, 2, p. 254-268
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| Subject: | Dynamic conditional correlations | Forecasting | Markov switching | Minimum variance portfolio | Model confidence set | Korrelation | Correlation | ARCH-Modell | ARCH model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2015.1037882 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011691329