. Modelling the correlation explicitly is shown to produce the best hedges when applied to the simulated data. For financial time … most important factor in reducing portfolio variance is the use of a flexible model for time varying volatility, rather … than capturing time variation in correlations. GARCH-based models with time varying correlation are found to perform not as …

We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to … handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a … time-varying covariance matrix of the multivariate Student's t distribution. The key novelty of our proposed model concerns …