Dynamic Conditional Correlations for Asymmetric Processes

DOI10.14490/JJSS.41.143zbMath1403.62153OpenAlexW3021381752MaRDI 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

EGARCHGJRdynamic conditional correlationsWishart processheavy-tailed errorsasymmetric BEKK

Mathematics Subject Classification ID

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

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