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dynamic correlation with some of the most explicative variables. The results suggest that the incorporation of significant … exogenous variables within the ARIMAX-GARCH model with persistent correlation according to the DCC (Dinamic Conditional … Correlation) model to the USD/COP pair generates out-of-sample forecasts with better performance than the ARIMA-GARCH univariate …
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calculation of the Pearson correlation coefficient. A quantitative methodology is applied, of explanatory type, which seeks to …
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dynamic correlation with some of the most explicative variables. The results suggest that the incorporation of significant … exogenous variables within the ARIMAX-GARCH model with persistent correlation according to the DCC (Dinamic Conditional … Correlation) model to the USD/COP pair generates out-of-sample forecasts with better performance than the ARIMA-GARCH univariate …
Persistent link: https://www.econbiz.de/10012258787
calculation of the Pearson correlation coefficient. A quantitative methodology is applied, of explanatory type, which seeks to …
Persistent link: https://www.econbiz.de/10012260066