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DYNAMIC ASSET CORRELATIONS BASED ON VINES - MaRDI portal

DYNAMIC ASSET CORRELATIONS BASED ON VINES (Q4629569)

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scientific article; zbMATH DE number 7043632
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DYNAMIC ASSET CORRELATIONS BASED ON VINES
scientific article; zbMATH DE number 7043632

    Statements

    title
    DYNAMIC ASSET CORRELATIONS BASED ON VINES (English)
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    author
    Benjamin Poignard
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    Jean-David Fermanian
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    publication date
    27 March 2019
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    Mathematics Subject Classification ID
    62P20
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    62M10
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    62H20
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    zbMATH DE Number
    7043632
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    zbMATH Keywords
    asset correlations
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    multivariate GARCH processes
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    quasi-maximum likelihood
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    cites work
    Q4869532
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    OpenAlex ID
    W3122145749
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