DCC-HEAVY: A multivariate GARCH model with realized measures of variance and correlation
Year of publication: |
2019
|
---|---|
Authors: | Xu, Yongdeng |
Publisher: |
Cardiff : Cardiff University, Cardiff Business School |
Subject: | HEAVY model | Multivariate volatility | High-frequency data | Forecasting | Wishart distribution |
Series: | Cardiff Economics Working Papers ; E2019/5 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1666412708 [GVK] hdl:10419/230438 [Handle] |
Classification: | C32 - Time-Series Models ; c58 ; G17 - Financial Forecasting |
Source: |
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DCC-HEAVY : a multivariate GARCH model with realized measures of variance and correlation
Xu, Yongdeng, (2019)
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