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Structural dynamic conditional correlation

Weber, Enzo - 2008

In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous in uences between several variables, this model considers interaction in the...

Persistent link: https://www.econbiz.de/10010263754

Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices

Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Journal of empirical finance 70 (2023), pp. 308-321

Persistent link: https://www.econbiz.de/10014423712

Spillover effects in the global copper futures markets: asymmetric multivariate GARCH approaches

Lee, Hyun-Bock; Park, Cheol-Ho - In: Applied economics 52 (2020) 54, pp. 5909-5920

Persistent link: https://www.econbiz.de/10012308379

Incorporating economic policy uncertainty in US equity premium models : a nonlinear predictability analysis

Bekiros, Stelios; Gupta, Rangan; Majumdar, Anandamayee - In: Finance research letters 18 (2016), pp. 291-296

Persistent link: https://www.econbiz.de/10011657223

Extreme dependence and spillovers between uncertainty indices and stock markets : does the US market play a major role?

Mensi, Walid; Kamal, Md Rajib; Xuan Vinh Vo; Kang, Sang Hoon - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-23

Persistent link: https://www.econbiz.de/10014485327

Return prediction with time varying betas : a research in BIST

Akyatan, Ayca; Çetin, M. Koray - In: International journal of accounting and finance 10 (2020) 1, pp. 64-86

Persistent link: https://www.econbiz.de/10012504722

Risk reduction and efficiency increase in large portfolios : leverage and shrinkage

Zhao, Zhao; Ledoit, Olivier; Jiang, Hui - 2019

combination of DCC (Dynamic Conditional Correlation - a well-known Multivariate GARCH model) - with NL (Non-Linear shrinkage, a … substantial upgrade upon linear shrinkage technology); although 130/30 DCC-NL comes a close second. This is true both in the "pure …

Persistent link: https://www.econbiz.de/10012030060