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  • Search: subject:"Asymmetric dynamic condition correlation"
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Subject
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Asymmetric dynamic condition correlation 1 Bayesian non-parametrics 1 Dirichlet process mixtures 1 Portfolio allocation 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
Author
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Ausín, Concepción 1 Galeano, Pedro 1 Virbickaite, Audrone 1
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Departamento de Estadistica, Universidad Carlos III de Madrid 1
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Statistics and Econometrics Working Papers 1
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RePEc 1
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A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection
Virbickaite, Audrone; Ausín, Concepción; Galeano, Pedro - Departamento de Estadistica, Universidad Carlos III de … - 2013
We use an asymmetric dynamic conditional correlation (ADCC) GJR-GARCH model to estimate the time-varying volatilities of financial returns. The ADCC-GJR-GARCH model takes into consideration the asymmetries in individual assets volatilities, as well as in the correlations. The errors are modeled...
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