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Oh, Dong Hwan; Patton, Andrew J. - 2021 - This draft: 21 January 2021

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dimensions. The new model generates realistic correlation forecasts even for large asset universes and captures rising pairwise …

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Madan, Dilip B. - In: Advanced modelling in mathematical finance : in honour …, (pp. 107-130). 2016

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Pesaran, Bahram (contributor); … - 2007

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This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by …

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Pesaran, Bahram (contributor); … - 2007

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