Analysis of Multivariate-GARCH via DCC Modelling
نویسندگان
چکیده
منابع مشابه
Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
Discussion Papers are a series of manuscripts in their draft form. They are not intended for circulation or distribution except as indicated by the author. For that reason Discussion Papers may not be reproduced or distributed without the written consent of the author. for financial support. This is an abridged and revised version of a paper entitled " Do we really need both BEKK and DCC? A tal...
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ژورنال
عنوان ژورنال: Korean Journal of Applied Statistics
سال: 2009
ISSN: 1225-066X
DOI: 10.5351/kjas.2009.22.5.995