Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range (Q4687336)
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scientific article; zbMATH DE number 6951850
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range |
scientific article; zbMATH DE number 6951850 |
Statements
Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range (English)
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11 October 2018
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dynamic correlations
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long memory
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range
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leverage effects
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multivariate GARCH
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VaR thresholds
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