Dynamic conditional correlations for asymmetric processes

DOI10.14490/JJSS.41.143MaRDI QIDQ4905026zbMATH OpenOpenAlexFDO

Authors Manabu Asai, Michael McAleer

Publication date 14 February 2013

Published in JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jjss&kijiCd=41_143&screenID=AF06S010&noVol=41&noIssue=2

zbMATH Keywords

asymmetric BEKKdynamic conditional correlationsEGARCHGJRheavy-tailed errorsWishart process

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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