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ArticleMultivariate semi-nonparametric distributions with dynamic conditional correlations

Esther B. Del Brío2010

Article2010

Multivariate semi-nonparametric distributions with dynamic conditional correlations

Esther B. Del Brío · Trino‐Manuel Ñíguez · Javier Perote

44 citations·0/0 files stored·International Journal of Forecasting

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

2002Dynamic Conditional Correlation 2007Strictly Proper Scoring Rules, Prediction, and Estimation 1995Multivariate Simultaneous Generalized ARCH 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1988A Capital Asset Pricing Model with Time-Varying Covariances n.d.Multivariate GARCH models: a survey 1998Evaluating Density Forecasts with Applications to Financial Risk Management

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Year2010

Typearticle

Published2010-09-02

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations44

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ijforecast.2010.02.005

openalex_workW2004276245

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