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~isPartOf:"Econometric Institute Research Papers"
~isPartOf:"Energy Economics"
~isPartOf:"Studies in Nonlinear Dynamics & Econometrics"
~person:"Asai, Manabu"
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Dynamic Conditional Correlations for Asymmetric Processes
Asai, Manabu
;
McAleer, Michael
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Faculteit der Economische Wetenschappen, Erasmus …
-
2010
-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential
GARCH
(EGARCH) and GJR models to …
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