Multiplicative Conditional Correlation Models for Realized Covariance Matrices
نویسندگان
چکیده
منابع مشابه
DYNAMIC CONDITIONAL CORRELATION MODELS FOR REALIZED COVARIANCE MATRICES (Preliminary and incomplete version)
New dynamic models for realized covariance matrices are proposed. The expected value of the realized covariance matrix is specified in two steps: a model for each realized variance, and a model for the realized correlation matrix. The realized correlation model is a dynamic conditional correlation model. Estimation can be done in two steps as well, and a QML interpretation is given to each step...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2020
ISSN: 1556-5068
DOI: 10.2139/ssrn.3527455