The Multivariate DCC-GARCH Model with Interdependence among Markets in Conditional Variances’ Equations
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Cited by:
- Ruiwen Yang & Pathairat Pastpipatkul & Chaiwat Nimanussornkul, 2020. "Dynamic Volatility Spillover Among Chinese Black Series Futures Under Structural Breaks," International Journal of Business and Administrative Studies, Professor Dr. Bahaudin G. Mujtaba, vol. 6(5), pages 236-246.
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Keywords
DCC-GARCH model; interdependence; conditional variance;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2015-12-01 (Econometrics)
- NEP-ETS-2015-12-01 (Econometric Time Series)
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