A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
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Publication:3182774
DOI10.1080/07474930903038834zbMath1172.62036OpenAlexW2140092748MaRDI QIDQ3182774
Philip Hans Franses, Christian M. Hafner
Publication date: 16 October 2009
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474930903038834
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Point estimation (62F10)
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