Dynamic Conditional Correlations for Asymmetric Processes
Year of publication: |
2010-12-22
|
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Authors: | Asai, Manabu ; McAleer, Michael |
Institutions: | Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam |
Subject: | EGARCH | GJR | asymmetric BEKK | dynamic conditional correlations | heavy-tailed errors | matrix exponential model | wishart process |
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 2010-76 |
Source: |
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Dynamic Conditional Correlations for Asymmetric Processes
Asai, Manabu, (2010)
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Dynamic Conditional Correlations for Asymmetric Processes
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