Hafner, Christian M. (contributor); … - 2004 - [Elektronische Ressource]
volatility, GARCH, semiparametric e–ciency, adaptivity.
JEL Classiflcation: C14, C22.
1Econometric Institute, Erasmus University …
of models are the so-called VEC GARCH model described by Engle and Kroner (1995),
and the dynamic conditional correlation … (DCC) model of Engle (2002), including exten-
sions allowing e.g. for asymmetries analogous to the univariate GARCH …