An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model
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Cited by:
- Hakim, Abdul & McAleer, Michael, 2009. "Forecasting conditional correlations in stock, bond and foreign exchange markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2830-2846.
- Linyue Li & Nan Zhang & Thomas D. Willett, 2012. "Measuring macroeconomic and financial market interdependence: a critical survey," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 4(2), pages 128-145, May.
- Jin Xisong & Lehnert Thorsten, 2018. "Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas," Dependence Modeling, De Gruyter, vol. 6(1), pages 19-46, February.
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More about this item
Keywords
asymmetric effect; block dynamic conditional correlation; multivariate GARCH;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
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2006-10-14 (Econometrics)
- NEP-FIN-2006-10-14 (Finance)
- NEP-FOR-2006-10-14 (Forecasting)
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