On the estimation of dynamic conditional correlation models
Year of publication: |
2012
|
---|---|
Authors: | Hafner, Christian M. ; Reznikova, Olga |
Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 56.2012, 11, p. 3533-3545
|
Publisher: |
Elsevier |
Subject: | DCC | Shrinkage | Sample covariance matrix | Financial time series |
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