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Search: subject:"Local and conditional correlations"
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Local and conditional correlations
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multivariate k-NN method
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multivariate kernel regression
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multivariate nonparametric ARCH
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Feng, Yuanhua
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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A local dynamic conditional correlation model
Feng, Yuanhua
-
Volkswirtschaftliche Fakultät, …
-
2006
components. In particular, the
local
and
conditional
correlations
are jointly estimated by multivariate kernel regression. A …
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