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decomposed into a systematic and firm-specific risk component, where the systematic component reflects the general economic …
Persistent link: https://www.econbiz.de/10011343953
We introduce a new, easily scalable model for dynamic conditional correlation matrices based on a recursion of dynamic bivariate partial correlation models. By exploiting the model's recursive structure and the theory of perturbed stochastic recurrence equations, we establish stationarity,...
Persistent link: https://www.econbiz.de/10013375366