A generalized dynamic conditional correlation model for many asset returns
Year of publication: |
2003-07-08
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Authors: | Hafner, Christian Matthias ; Franses, Philip Hans |
Institutions: | Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam |
Subject: | dynamic conditional correlation | multivariate GARCH |
Extent: | application/pdf |
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Series: | Econometric Institute Research Papers. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:ems:eureir Number EI 2003-18 |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models |
Source: |
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ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
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Semi-Parametric Modelling of Correlation Dynamics
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Testing for causality in variance using multivariate GARCH models
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