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Search: subject:"TVC-GARCH model"
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time-varying correlation-generalized autoregressive conditional heteroscedasticity (TVC-GARCH) model
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Meng, Qingbin
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The European journal of finance
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On optimizing risk exposures with trend-following strategies in currency overlay portfolios
Tee, Kaihong
- In:
The journal of investment strategies
6
(
2016
)
1
,
pp. 47-68
Persistent link: https://www.econbiz.de/10011668121
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The role of multivariate skew-student density in the estimation of stock market crashes
Wu, Lei
;
Meng, Qingbin
;
Velazquez, Julio C.
- In:
The European journal of finance
21
(
2015
)
13/15
,
pp. 1144-1160
Persistent link: https://www.econbiz.de/10011419786
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