A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets (Q3182774)
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scientific article; zbMATH DE number 5616522
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| English | A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets |
scientific article; zbMATH DE number 5616522 |
Statements
A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets (English)
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16 October 2009
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dynamic conditional correlation
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multivariate GARCH
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0.91208637
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0.8748172
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0.8743605
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0.8696373
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0.8648813
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0.86066425
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0.85800016
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0.8572573
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