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Modeling Multivariate Interest Rates using Time-Varying Copulas and Reducible Stochastic Differential Equations
Bu, Ruijun; Giet, Ludovic; Hadri, Kaddour; Lubrano, Michel - HAL - 2009
structure of the two rates using Patton (2006a) time-varying Symmetrised Joe-Clayton copula. We find evidence of asymmetric …
Persistent link: https://www.econbiz.de/10008793845
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Portfolio Risk Evaluation: An Approach Based on Dynamic Conditional Correlations Models and Wavelet Multi-Resolution Analysis
Khalfaoui, R.; Boutahar, M. - HAL - 2012
We analyzed the volatility dynamics of three developed markets (U.K., U.S. and Japan), during the period 2003-2011, by comparing the performance of several multivariate volatility models, namely Constant Conditional Correlation (CCC), Dynamic Conditional Correlation (DCC) and consistent DCC...
Persistent link: https://www.econbiz.de/10010933866