A GARCH-variance dependent approach to modelize dynamic conditional correlations (Q5166728)
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scientific article; zbMATH DE number 6314255
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| English | A GARCH-variance dependent approach to modelize dynamic conditional correlations |
scientific article; zbMATH DE number 6314255 |
Statements
8 July 2014
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conditional variance
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dynamic conditional correlation
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GARCH distance
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multivariate GARCH
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forecasting
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0.8461036682128906
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0.8335316181182861
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0.8319617509841919
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0.8190900087356567
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0.8167614340782166
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