A generalized dynamic conditional correlation model for portfolio risk evaluation (Q1025339): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: Multivariate Stochastic Volatility: A Review / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Asymptotic theory for multivariate GARCH processes. / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Conditional Heteroskedasticity in Asset Returns: A New Approach / rank | |||
Normal rank | |||
Latest revision as of 17:06, 1 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A generalized dynamic conditional correlation model for portfolio risk evaluation |
scientific article |
Statements
A generalized dynamic conditional correlation model for portfolio risk evaluation (English)
0 references
18 June 2009
0 references
dynamic correlations
0 references
block structures
0 references
flexible correlation models
0 references
