Dynamic Conditional Correlations for Asymmetric Processes

DOI10.14490/jjss.41.143zbMath1403.62153MaRDI QIDQ4905026

Michael McAleer, Manabu Asai

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

EGARCH; GJR; dynamic conditional correlations; Wishart process; heavy-tailed errors; asymmetric BEKK

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62H20: Measures of association (correlation, canonical correlation, etc.)