Dynamic Asset Correlations Based on Vines
Year of publication: |
2015-02
|
---|---|
Authors: | Poignard, Benjamin ; Fermanian, Jean-David |
Institutions: | Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) |
Subject: | Dynamic Conditional Correlations | Multivariate GARCH | Partial Correlations | Quasi Maximum Likelihood Estimator | Regular vine |
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