DCC-GARCH Model for Market and Firm-Level Dynamic Correlation in S&P 500 (Q5139580): Difference between revisions
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Revision as of 19:59, 5 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)
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9 December 2020
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dynamic conditional correlation
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multivariate GARCH
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DCC-MVGARCH
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contagion
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risk management
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