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Ten things you should know about the dynamic conditional correlation representation
Caporin, Massimiliano; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009767004
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Ten things you should know about the dynamic conditional correlation representation
Caporin, Massimiliano; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009771098
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Ten things you should know about DCC
Caporin, Massimiliano; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009744766
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Ten things you should know about the dynamic conditional correaltion representation
Caporin, Massimiliano; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009754989
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Ten things you should know about DCC
Caporin, Massimiliano; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009725302
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Ten things you should know about DCC
Caporin, Massimiliano; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009723138
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Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu; McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010348322
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Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2016
The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the...
Persistent link: https://www.econbiz.de/10011536626
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Dynamic asymmetric leverage in stochastic volatility models
Asai, Manabu; McAleer, Michael - In: Econometric reviews 24 (2005) 3, pp. 317-332
Persistent link: https://www.econbiz.de/10003105638
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Ten things you should know about the dynamic conditional correlation representation
Caporin, Massimiliano; McAleer, Michael - In: Econometrics : open access journal 1 (2013) 1, pp. 115-126
Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons … properties; DCC is not a special case of Generalized Autoregressive Conditional Correlation (GARCC), which has testable …
Persistent link: https://www.econbiz.de/10009776381