Ten Things you should know about DCC
Year of publication: |
2013
|
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Authors: | Caporin, Massimiliano ; McAleer, Michael |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Korrelation | Statistische Methode | Theorie | DCC | BEKK | GARCC | Stated representation | Derived model | Conditional covariances | Conditional correlations | Regularity conditions | Moments | Two step estimators | Assumed properties | Asymptotic properties | Filter | Diagnostic check |
Series: | Tinbergen Institute Discussion Paper ; 13-048/III |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 740790706 [GVK] hdl:10419/87262 [Handle] RePEc:dgr:uvatin:20130048 [RePEc] |
Classification: | c18 ; C32 - Time-Series Models ; c58 ; G17 - Financial Forecasting |
Source: |
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