On the estimation of dynamic conditional correlation models
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DOI: 10.1016/j.csda.2010.09.022
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- Hafner, Christian & Reznikova, O., 2012. "On the estimation of dynamic conditional correlation models," LIDAM Reprints ISBA 2012021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, C. & Reznikova, O., 2010. "On the estimation of dynamic conditional correlation models," LIDAM Discussion Papers ISBA 2010006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
References listed on IDEAS
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Keywords
DCC; Shrinkage; Sample covariance matrix; Financial time series;All these keywords.
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