Modelling asymmetric volatility dynamics by multivariate BL-GARCH models (Q1039975)
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scientific article; zbMATH DE number 5637264
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| English | Modelling asymmetric volatility dynamics by multivariate BL-GARCH models |
scientific article; zbMATH DE number 5637264 |
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Modelling asymmetric volatility dynamics by multivariate BL-GARCH models (English)
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23 November 2009
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multivariate GARCH
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asymmetry
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conditional correlation
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EM algorithm
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robust conditional moment tests
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futures hedging
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0.8364618420600891
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0.7959849238395691
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0.7821382880210876
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0.7796370983123779
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0.7724039554595947
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