Variance clustering improved dynamic conditional correlation MGARCH estimators (Q1623552)
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scientific article; zbMATH DE number 6983995
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| English | Variance clustering improved dynamic conditional correlation MGARCH estimators |
scientific article; zbMATH DE number 6983995 |
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Variance clustering improved dynamic conditional correlation MGARCH estimators (English)
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23 November 2018
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dynamic conditional correlations
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time series clustering
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multivariate GARCH
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composite likelihood
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0.8461036682128906
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0.840523362159729
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0.8350020051002502
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0.8137515187263489
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0.7917676568031311
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