A generalized dynamic conditional correlation model for portfolio risk evaluation
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Publication:1025339
DOI10.1016/j.matcom.2008.12.011zbMath1162.91364MaRDI QIDQ1025339
Monica Billio, Massimiliano Caporin
Publication date: 18 June 2009
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: http://www.unive.it/pag/fileadmin/user_upload/dipartimenti/economia/doc/Pubblicazioni_scientifiche/working_papers/2006/WP_DSE_Billio_Caporin_53_06.pdf
Related Items
DYNAMIC ASSET CORRELATIONS BASED ON VINES, Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations, Continuous Time Wishart Process for Stochastic Risk, Variance clustering improved dynamic conditional correlation MGARCH estimators, Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas, A tail-revisited Markowitz mean-variance approach and a portfolio network centrality, Fast clustering of GARCH processes via Gaussian mixture models, Clustering of financial instruments using jump tail dependence coefficient, Clustering of financial time series in risky scenarios, Multivariate rotated ARCH models
Uses Software
Cites Work
- Asymptotic theory for multivariate GARCH processes.
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
- ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
- Multivariate Stochastic Volatility: A Review
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
