Similar Search Results

Correlation under stress in normal variance mixture models

Kalkbrener, Michael; Packham, Natalie - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 426-456

Persistent link: https://www.econbiz.de/10011350602

Structural constant conditional correlation

Weber, Enzo (contributor) - 2008

constant conditional correlation (SCCC). In this, common driving forces can be modelled in addition to simultaneous …

Persistent link: https://www.econbiz.de/10003636117

A long-run pure variance common features model for the common volatilities of the Dow Jones

Engle, Robert F.; Marcucci, Juri - In: Journal of econometrics 132 (2006) 1, pp. 7-42

Persistent link: https://www.econbiz.de/10003320235

Structural dynamic conditional correlation

Weber, Enzo - 2008

structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous influences between several … transmission effects. In this context, the present paper extends the analysis to structural dynamic conditional correlation (SDCC …