The uncertainty of conditional returns, volatilities and correlations in DCC models

DOI10.1016/j.csda.2015.03.017zbMath1466.62070OpenAlexW2051027577MaRDI QIDQ1659110

Diego E. Fresoli, Esther Ruiz Ortega

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/18437

zbMATH Keywords

exchange ratesresampling methodsrealized correlationdynamic conditional correlationbootstrap forecast intervalsforecast regions

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Bootstrap prediction in univariate volatility models with leverage effect ⋮ Robust bootstrap forecast densities for GARCH returns and volatilities ⋮ Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk

Uses Software

• JMulTi
• EMD
• MFE toolbox

Cites Work

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