Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach (Q5080532): Difference between revisions

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Latest revision as of 03:38, 29 July 2024

scientific article; zbMATH DE number 7534724
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English
Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach
scientific article; zbMATH DE number 7534724

    Statements

    Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach (English)
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    31 May 2022
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    constant conditional correlation
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    dynamic conditional correlation
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    multivariate GARCH
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    return comovement
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    variable correlation GARCH model
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    volatility model evaluation
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