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  • Search: subject:"Multivariate volatility modeling"
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Year of publication
Subject
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Bregman divergences 1 Bregman-proximal trust-region method 1 constrained optimization 1 dynamic conditional correlations (DCC) 1 multivariate volatility modeling 1 non-scalar DCC models 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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BAUWENS, Luc 1 GRIGORYEVA, Lyudmila 1 ORTEGA, Juan-Pablo 1
Institution
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1
Published in...
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CORE Discussion Papers 1
Source
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RePEc 1
Showing 1 - 1 of 1
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Estimation and empirical performance of non-scalar dynamic conditional correlation models
BAUWENS, Luc; GRIGORYEVA, Lyudmila; ORTEGA, Juan-Pablo - Center for Operations Research and Econometrics (CORE), … - 2014
This paper presents a method capable of estimating richly parametrized versions of the dynamic conditional correlation (DCC) model that go beyond the standard scalar case. The algorithm is based on the maximization of a Gaussian quasi-likelihood using a Bregman-proximal trust-region method to...
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