On the estimation of dynamic conditional correlation models (Q1927134)
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scientific article; zbMATH DE number 6119769
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the estimation of dynamic conditional correlation models |
scientific article; zbMATH DE number 6119769 |
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On the estimation of dynamic conditional correlation models (English)
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30 December 2012
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DCC
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shrinkage
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sample covariance matrix
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financial time series
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