Dynamic factor multivariate GARCH model
Year of publication: |
2014
|
---|---|
Authors: | Santos, André A.P. ; Moura, Guilherme V. |
Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 76.2014, C, p. 606-617
|
Publisher: |
Elsevier |
Subject: | Dynamic conditional correlation (DCC) | Forecasting | Kalman filter | Learning CAPM | Performance evaluation | Sharpe ratio |
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