DCC-GARCH Model for Market and Firm-Level Dynamic Correlation in S&P 500
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Publication:5139580
DOI10.1142/9789811202391_0129zbMath1451.91183MaRDI QIDQ5139580
Chunchi Wu, Peimin Chen, Ying Zhang
Publication date: 9 December 2020
Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/9789811202391_0129
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G45: Financial networks (including contagion, systemic risk, regulation)
91G15: Financial markets