A generalized dynamic conditional correlation model for portfolio risk evaluation (Q1025339)

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A generalized dynamic conditional correlation model for portfolio risk evaluation
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    title
    A generalized dynamic conditional correlation model for portfolio risk evaluation (English)
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    author
    Monica Billio
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    Massimiliano Caporin
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    publication date
    18 June 2009
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    Mathematics Subject Classification ID
    91G70
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    91G10
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    91B30
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    zbMATH DE Number
    5566450
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    zbMATH Keywords
    dynamic correlations
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    block structures
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    flexible correlation models
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