Hafner, C.M.; Dijk, D.J.C. van; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2005
more parsimonious models, such as the dynamic conditional correlation model. An empirical application to the 30 Dow Jones … models, such as the dynamic
conditional correlation model. An empirical application to the 30 Dow Jones
stocks demonstrates …: Multivariate GARCH, dynamic conditional correlation, kernel
regression, minimum variance portfolio, tracking error minimization …