Variance clustering improved dynamic conditional correlation MGARCH estimators
Year of publication: |
2014
|
---|---|
Authors: | Aielli, Gian Piero ; Caporin, Massimiliano |
Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 76.2014, C, p. 556-576
|
Publisher: |
Elsevier |
Subject: | Dynamic conditional correlations | Time series clustering | Multivariate GARCH | Composite likelihood |
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