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Ikefuji, Masako; Magnus, Jan R.; Vasnev, Andrey L. - 2023

data contain much less information than one might think, due to the presence of correlation. We conclude that the prior in …

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Pesaran, Bahram; Pesaran, M. Hashem - In: Economic modelling 27 (2010) 6, pp. 1398-1416

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Pesaran, M. Hashem - 2010

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Pesaran, Bahram; Pesaran, M. Hashem - 2010

version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …

Persistent link: https://www.econbiz.de/10003965868

Amira, Khaled; Taamouti, Abderrahim; Tsafack, Georges - In: Journal of international money and finance 30 (2011) 6, pp. 1234-1263

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Liow, Kim Hiang; Ye, Qing - In: Empirica : journal of european economics 45 (2018) 3, pp. 457-487

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Mensi, Walid; Hkiri, Besma; Al-Yahyaee, Khamis Hamed; … - In: International review of economics & finance : IREF 54 (2018), pp. 74-102

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Zhang, Bing - In: Applied economics 49 (2017) 15, pp. 1513-1526

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