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ArticleA generalized Dynamic Conditional Correlation model for portfolio risk evaluation

Monica Billio2008

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Articlegreen2008

A generalized Dynamic Conditional Correlation model for portfolio risk evaluation

Monica Billio · Massimiliano Caporin

77 citations·0/0 files stored·Mathematics and Computers in Simulation

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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

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 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 1995Techniques for Verifying the Accuracy of Risk Measurement Models n.d.Multivariate GARCH models: a survey 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

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2008Multivariate GARCH Models 2012MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES 2013Clustering of financial time series in risky scenarios 2013Multivariate rotated ARCH models 2006Dynamic Asymmetric GARCH 2009Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models

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Year2008

Typearticle

Published2008-12-25

VenueMathematics and Computers in Simulation

ISSN-L0378-4754

Languageen

Citations77

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.matcom.2008.12.011

openalex_workW2045289069

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2010

Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models

2008Do Inflation‐Linked Bonds Still Diversify?