The snp-dcc model: a new methodology for risk management and forecasting
Esther B. Del Brio; Trino-Manuel Ñíguez & Javier Perote
| Year of publication: |
2010
|
|---|---|
| Authors: | Brio, Esther B. del ; Ñíguez, Trino-Manuel ; Perote, Javier |
| Publisher: |
Madrid : Fundación de las Cajas de Ahorros |
| Subject: | Density forecasts | Financial markets | GARCH models | Multivariate timeseries | Semi-nonparametric methods | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Risikomanagement | Risk management | Finanzmarkt | Financial market | Theorie | Theory | Statistische Verteilung | Statistical distribution | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis |