Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach (Q5080532)
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scientific article; zbMATH DE number 7534724
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach |
scientific article; zbMATH DE number 7534724 |
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Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach (English)
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31 May 2022
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constant conditional correlation
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dynamic conditional correlation
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multivariate GARCH
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return comovement
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variable correlation GARCH model
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volatility model evaluation
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