Estimation and empirical performance of non-scalar dynamic conditional correlation models (Q1659096)
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scientific article; zbMATH DE number 6918321
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation and empirical performance of non-scalar dynamic conditional correlation models |
scientific article; zbMATH DE number 6918321 |
Statements
Estimation and empirical performance of non-scalar dynamic conditional correlation models (English)
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15 August 2018
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multivariate volatility modeling
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dynamic conditional correlations (DCC)
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non-scalar DCC models
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constrained optimization
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Bregman divergences
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Bregman-proximal trust-region method
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0.9373063
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0.9360614
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0.90142363
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0.8790802
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0.86893713
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0.8644401
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