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ArticleOn the estimation of dynamic conditional correlation models

Christian Matthias Hafner2010

Article2010

On the estimation of dynamic conditional correlation models

Christian Matthias Hafner · Olga Reznikova

97 citations·0/0 files stored·Computational Statistics & Data Analysis

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Financial Risk and Volatility Modeling Statistical Methods and Inference Random Matrices and Applications

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Dynamic Conditional Correlation 1995Multivariate Simultaneous Generalized ARCH 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1988A Capital Asset Pricing Model with Time-Varying Covariances 1963A Simplified Model for Portfolio Analysis n.d.Multivariate GARCH models: a survey 1993Introduction to Multiple Time Series Analysis

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Year2010

Typearticle

Published2010-09-30

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations97

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.csda.2010.09.022

openalex_workW2014755147

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Estimating Multivariate Volatility Models Equation by Equation

2014Volatility and dynamic conditional correlations of worldwide emerging and frontier markets

2017MGARCH models: Trade-off between feasibility and flexibility