Variance clustering improved dynamic conditional correlation MGARCH estimators (Q1623552): Difference between revisions

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+Bayesian Clustering of Many Garch Models
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+A generalized dynamic conditional correlation model for portfolio risk evaluation
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+Generalized autoregressive conditional heteroscedasticity
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+A long-run pure variance common features model for the common volatilities of the Dow Jones
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+A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
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+On the estimation of dynamic conditional correlation models
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+On loss functions and ranking forecasting performances of multivariate volatility models
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+Clustering of time series data -- a survey
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+GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
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+Clustering heteroskedastic time series by model-based procedures
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+Identifying financial time series with similar dynamic conditional correlation
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+Q3074773
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+Evaluating Volatility and Correlation Forecasts
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+Likelihood functions for inference in the presence of a nuisance parameter
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