DCC-GARCH model for market and firm-level dynamic correlation in S\&P 500 (Q5139580)
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scientific article; zbMATH DE number 7283341
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| English | DCC-GARCH model for market and firm-level dynamic correlation in S\&P 500 |
scientific article; zbMATH DE number 7283341 |
Statements
DCC-GARCH Model for Market and Firm-Level Dynamic Correlation in S&P 500 (English)
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9 December 2020
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dynamic conditional correlation
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multivariate GARCH
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DCC-MVGARCH
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contagion
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risk management
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0.7720649242401123
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0.7644519805908203
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0.7507387399673462
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0.7479501366615295
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0.7475610971450806
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