Variance clustering improved dynamic conditional correlation MGARCH estimators (Q1623552)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Variance clustering improved dynamic conditional correlation MGARCH estimators |
scientific article |
Statements
Variance clustering improved dynamic conditional correlation MGARCH estimators (English)
0 references
23 November 2018
0 references
dynamic conditional correlations
0 references
time series clustering
0 references
multivariate GARCH
0 references
composite likelihood
0 references
