DCC-GARCH Model for Market and Firm-Level Dynamic Correlation in S&P 500 (Q5139580): Difference between revisions
From MaRDI portal
Created a new Item |
Set OpenAlex properties. |
||
| (2 intermediate revisions by 2 users not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1142/9789811202391_0129 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3080851361 / rank | |||
Normal rank | |||
| links / mardi / name | links / mardi / name | ||
Latest revision as of 21:26, 19 March 2024
scientific article; zbMATH DE number 7283341
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | DCC-GARCH Model for Market and Firm-Level Dynamic Correlation in S&P 500 |
scientific article; zbMATH DE number 7283341 |
Statements
DCC-GARCH Model for Market and Firm-Level Dynamic Correlation in S&P 500 (English)
0 references
9 December 2020
0 references
dynamic conditional correlation
0 references
multivariate GARCH
0 references
DCC-MVGARCH
0 references
contagion
0 references
risk management
0 references
