Showing 11 - 20 of 693,512
Persistent link: https://www.econbiz.de/10003983168
Persistent link: https://www.econbiz.de/10008659419
Persistent link: https://www.econbiz.de/10009571516
Persistent link: https://www.econbiz.de/10009557834
Persistent link: https://www.econbiz.de/10011398581
Persistent link: https://www.econbiz.de/10010517781
Persistent link: https://www.econbiz.de/10010518936
Persistent link: https://www.econbiz.de/10011282095
We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...
Persistent link: https://www.econbiz.de/10011380135
. The methodology is hybrid because it combines a formaltesting procedure with volatility curve pattern recognition based …
Persistent link: https://www.econbiz.de/10011299968