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Forecasting time-varying covariance with a range-based dynamic conditional correlation model

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  • Ray Chou
  • Chun-Chou Wu
  • Nathan Liu

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  • Ray Chou & Chun-Chou Wu & Nathan Liu, 2009. "Forecasting time-varying covariance with a range-based dynamic conditional correlation model," Review of Quantitative Finance and Accounting, Springer, vol. 33(4), pages 327-345, November.
    • Handle: RePEc:kap:rqfnac:v:33:y:2009:i:4:p:327-345
    DOI: 10.1007/s11156-009-0113-3
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    More about this item

    Keywords

    CARR; DCC; Dynamic covariance; Range; Volatility; C1; C5; G11;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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