Showing 1 - 10 of 170,314
Persistent link: https://www.econbiz.de/10003733103
influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation … estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). Engle demonstrates the role of … their relation to other measures of dependence. He compares DCC with other correlation estimators such as historical …
Persistent link: https://www.econbiz.de/10014488318
Persistent link: https://www.econbiz.de/10004931210
Persistent link: https://www.econbiz.de/10001464294
Persistent link: https://www.econbiz.de/10003323103
Persistent link: https://www.econbiz.de/10003401783
Persistent link: https://www.econbiz.de/10003937889
ARMA-GARCH-Modellierung; nicht-Normalität; normal-inverse Gauss-Verteilung (NIG-Verteilung); realisierte Momente; Staatsanleihen; Strom Forwards; stylized facts von Finanzzeitreihen; Value at Risk; Verteilung von Anleiherenditen
Persistent link: https://www.econbiz.de/10011440567
Persistent link: https://www.econbiz.de/10002467384
Persistent link: https://www.econbiz.de/10001362446