Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH
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https://www.nber.org/papers/w8554
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资源简介：
In this paper, we develop the theoretical and empirical properties of a new class of multi-variate GARCH models capable of estimating large time-varying covariance matrices, Dynamic Conditional Correlation Multivariate GARCH. We show that the problem of multivariate conditional variance estimation
提供机构：
美国国家经济研究局
创建时间：
2001-10-01
