Forecasting conditional correlations in stock, bond and foreign exchange markets
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Publication:834304
DOI10.1016/j.matcom.2008.07.013zbMath1168.91495OpenAlexW2090673810MaRDI QIDQ834304
Publication date: 19 August 2009
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2008.07.013
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Forecasting conditional correlations in stock, bond and foreign exchange markets, Currency hedging strategies using dynamic multivariate GARCH
Cites Work
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- Forecasting conditional correlations in stock, bond and foreign exchange markets
- Generalized autoregressive conditional heteroscedasticity
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- ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
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