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  • Search: subject:"Derived model"
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Year of publication
Subject
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BEKK 17 GARCC 17 derived model 11 DCC representation 10 filter 10 two step estimators 10 Korrelation 9 Statistische Methode 9 Theorie 9 conditional correlations 9 stated representation 9 Assumed properties 8 Asymptotic properties 8 Conditional correlations 8 Conditional covariances 8 Derived model 8 Diagnostic check 8 Stated representation 8 DCC 7 Filter 7 Moments 7 Regularity conditions 7 Two step estimators 7 moments 7 regularity conditions 7 Correlation 6 Statistical method 6 Theory 6 assumed properties 6 asymptotic properties 6 conditional covariances 6 diagnostic check 6 Stated representation, Derived model, Assumed properties, Asymptotic properties 3 assumed asymptotic properties 3 Markov chains 2 Markov decision processes 2 assessment of policy 2 assessment of process 2 bankruptcy 2 countable model 2
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Online availability
All
Free 17 Undetermined 2
Type of publication
All
Book / Working Paper 17 Article 5
Type of publication (narrower categories)
All
Working Paper 7 Arbeitspapier 5 Graue Literatur 5 Non-commercial literature 5 Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
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Language
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Undetermined 13 English 9
Author
All
Caporin, Massimiliano 20 McAleer, Michael 20 Robert, Kowal 2
Institution
All
Department of Economics and Finance, College of Business and Economics 2 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 2 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 2 Institute of Economic Research, Kyoto University 2 Tinbergen Instituut 2
Published in...
All
Discussion paper / Tinbergen Institute 2 Documentos de Trabajo del ICAE 2 Econometric Institute Research Papers 2 Econometric Institute research papers 2 Econometrics 2 Folia Oeconomica Stetinensia 2 KIER Working Papers 2 Tinbergen Institute Discussion Paper 2 Tinbergen Institute Discussion Papers 2 Working Papers in Economics 2 Econometrics : open access journal 1 Working paper 1
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Source
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RePEc 13 ECONIS (ZBW) 6 EconStor 3
Showing 1 - 10 of 22
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Ten things you should know about the dynamic conditional correlation representation
Caporin, Massimiliano; McAleer, Michael - In: Econometrics 1 (2013) 1, pp. 115-126
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the...
Persistent link: https://www.econbiz.de/10010421297
Saved in:
Cover Image
Ten Things you should know about the Dynamic Conditional Correlation Representation
Caporin, Massimiliano; McAleer, Michael - 2013
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the...
Persistent link: https://www.econbiz.de/10010326200
Saved in:
Cover Image
Ten Things you should know about DCC
Caporin, Massimiliano; McAleer, Michael - 2013
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the...
Persistent link: https://www.econbiz.de/10010326244
Saved in:
Cover Image
Ten Things you should know about the Dynamic Conditional Correlation Representation
Caporin, Massimiliano; McAleer, Michael - Tinbergen Instituut - 2013
See the publication in <I>Econometrics</I> (2013). Volume 1(1), pages 115-126.<P> The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations....</p></i>
Persistent link: https://www.econbiz.de/10011255860
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Cover Image
Ten Things you should know about DCC
Caporin, Massimiliano; McAleer, Michael - Tinbergen Instituut - 2013
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the...
Persistent link: https://www.econbiz.de/10011256093
Saved in:
Cover Image
Ten Things You Should Know About the Dynamic Conditional Correlation Representation
Caporin, Massimiliano; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2013
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the...
Persistent link: https://www.econbiz.de/10010731695
Saved in:
Cover Image
Ten Things You Should Know About the Dynamic Conditional Correlation Representation
Caporin, Massimiliano; McAleer, Michael - Institute of Economic Research, Kyoto University - 2013
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time- varying conditional correlations. The reasons given for caution about the use of DCC include the...
Persistent link: https://www.econbiz.de/10010860070
Saved in:
Cover Image
Ten Things You Should Know About DCC
Caporin, Massimiliano; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2013
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the...
Persistent link: https://www.econbiz.de/10010862577
Saved in:
Cover Image
Ten Things You Should Know About DCC
Caporin, Massimiliano; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2013
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the...
Persistent link: https://www.econbiz.de/10010837796
Saved in:
Cover Image
Ten Things You Should Know about the Dynamic Conditional Correlation Representation
Caporin, Massimiliano; McAleer, Michael - In: Econometrics 1 (2013) 1, pp. 115-126
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the...
Persistent link: https://www.econbiz.de/10011031447
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