A generalized dynamic conditional correlation model for portfolio risk evaluation
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Publication:1025339
DOI10.1016/j.matcom.2008.12.011zbMath1162.91364MaRDI QIDQ1025339
Massimiliano Caporin, Monica Billio
Publication date: 18 June 2009
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: http://www.unive.it/pag/fileadmin/user_upload/dipartimenti/economia/doc/Pubblicazioni_scientifiche/working_papers/2006/WP_DSE_Billio_Caporin_53_06.pdf
Related Items
Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations, Continuous Time Wishart Process for Stochastic Risk, Multivariate rotated ARCH models
Uses Software
Cites Work
- Asymptotic theory for multivariate GARCH processes.
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
- ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
- Multivariate Stochastic Volatility: A Review
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY