Arbeitspapier
Ten Things you should know about the Dynamic Conditional Correlation Representation
- Sprache
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Englisch
- ISBN
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NBN:nl:ui:15-1765/40416
- Erschienen in
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Series: Tinbergen Institute Discussion Paper; No. 13-078/III
Methodological Issues: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Econometrics
Financial Forecasting and Simulation
DCC representation
BEKK
GARCC
stated representation
derived model
conditional covariances
conditional correlations
regularity conditions
moments
two step estimators
assumed properties
asymptotic properties
filter
diagnostic check
Korrelation
Statistische Methode
Theorie
McAleer, Michael
Amsterdam and Rotterdam: Tinbergen Institute
- Rechteinformation
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft
- Letzte Aktualisierung
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18.10.2021, 08:57 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Caporin, Massimiliano
- McAleer, Michael
- Amsterdam and Rotterdam: Tinbergen Institute
Entstanden
- Amsterdam and Rotterdam: Tinbergen Institute