Range-based DCC models for covariance and value-at-risk forecasting
Piotr Fiszeder, Marcin Fałdziński, Peter Molnár
| Year of publication: |
2019
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|---|---|
| Authors: | Fiszeder, Piotr ; Fałdziński, Marcin ; Molnár, Peter |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 54.2019, p. 58-76
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| Subject: | Covariance forecasting | Dynamic conditional correlation | High-low range | Value-at-risk | Volatility | Korrelation | Correlation | Volatilität | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Theorie | Theory | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2019.08.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012174846