A Class of Generalized Dynamic Correlation Models
نویسندگان
چکیده
منابع مشابه
A Class of Generalized Dynamic Correlation Models
This paper proposes a class of parametric correlation models that apply a twolayer autoregressive-moving-average structure to the dynamics of correlation matrices. The proposed model contains the Dynamic Conditional Correlation model of Engle (2002) and the Varying Correlation model of Tse and Tsui (2002) as special cases and offers greater flexibility in a parsimonious way. Performance of the ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2018
ISSN: 1556-5068
DOI: 10.2139/ssrn.3129418