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Dynamic conditional correlation
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Generalized method of moments
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Multivariate GARCH
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Pelagatti, Matteo M.
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Rondena, Stefania
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Dynamic
Conditional
Correlation
with Elliptical Distributions
Pelagatti, Matteo M.
;
Rondena, Stefania
-
EconWPA
-
2005
The
Dynamic
Conditional
Correlation
model of Engle has made the estimation of multivariate GARCH models feasible for …
Persistent link: https://www.econbiz.de/10005119196
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