Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks

DOI10.1016/j.csda.2013.06.002zbMath1506.62011OpenAlexW2095167457MaRDI QIDQ1623507

Francesco Audrino

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://ux-tauri.unisg.ch/RePEc/usg/econwp/EWP-1112.pdf

zbMATH Keywords

performance evaluationmixed data samplingcomponent modelscorrelation forecastingthreshold regime-switching models

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

The uncertainty of conditional returns, volatilities and correlations in DCC models

Uses Software

• bootstrap

Cites Work

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