Showing 1 - 10 of 20,423
Persistent link: https://www.econbiz.de/10010256919
Persistent link: https://www.econbiz.de/10009272652
Persistent link: https://www.econbiz.de/10012027037
Persistent link: https://www.econbiz.de/10014432725
The serial dependency of multivariate financial data will often be filtered by considering the residuals of univariate GARCH models adapted to every single series. This is the correct filtering strategy if the multivariate process follows a so-called copula based multivariate dynamic model...
Persistent link: https://www.econbiz.de/10003894846
The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This … of the time otherwise required. The proposed method is a two-step procedure, separating the estimation of the correlation … computationally cheap and extremely accurate - most notably in the tail, which is crucial for risk calculations. A simulation study …
Persistent link: https://www.econbiz.de/10003961455
Persistent link: https://www.econbiz.de/10011304126
Persistent link: https://www.econbiz.de/10010425716
Persistent link: https://www.econbiz.de/10010497517
Persistent link: https://www.econbiz.de/10001709225