Forecasting international stock market correlations: does anything beat a CCC?
Year of publication: |
2010
|
---|---|
Authors: | Manner, Hans ; Reznikova, Olga |
Publisher: |
Cologne : University of Cologne, Seminar of Economic and Social Statistics |
Subject: | dynamic conditional correlation | regime switching | stochastic correlation | smooth correlations | indirect model comparison | portfolio construction |
Series: | |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 656643420 [GVK] hdl:10419/45359 [Handle] RePEc:zbw:ucdpse:710 [RePEc] |
Classification: | C53 - Forecasting and Other Model Applications ; G17 - Financial Forecasting |
Source: |
-
Forecasting international stock market correlations: does anything beat a CCC?
Manner, Hans, (2010)
-
Mixture normal conditional correlation models
Putintseva, Maria, (2012)
-
Modelling Realized Covariances and Returns
Jin, Xin, (2010)
- More ...
-
Forecasting international stock market correlations : does anything beat a CCC?
Manner, Hans, (2010)
-
A survey on time-varying copulas : specification, simulations, and application
Manner, Hans, (2012)
-
A Survey on Time-Varying Copulas: Specification, Simulations, and Application
Manner, Hans, (2012)
- More ...