Dynamic conditional correlations for asymmetric processes (Q4905026)
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scientific article; zbMATH DE number 6136102
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| English | Dynamic conditional correlations for asymmetric processes |
scientific article; zbMATH DE number 6136102 |
Statements
Dynamic Conditional Correlations for Asymmetric Processes (English)
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14 February 2013
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asymmetric BEKK
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dynamic conditional correlations
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EGARCH
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GJR
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heavy-tailed errors
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Wishart process
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0.8635786175727844
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0.8195093870162964
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0.8175144195556641
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0.8128964304924011
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0.8103780746459961
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