Forecasting conditional correlations in stock, bond and foreign exchange markets

DOI10.1016/j.matcom.2008.07.013zbMath1168.91495OpenAlexW2090673810MaRDI QIDQ834304

Abdul Hakim, Michael McAleer

Publication date: 19 August 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.07.013

zbMATH Keywords

forecastingforeign exchangebondstockconditional correlationrolling window

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items

Forecasting conditional correlations in stock, bond and foreign exchange markets, Currency hedging strategies using dynamic multivariate GARCH

Cites Work

• An econometric analysis of asymmetric volatility: theory and application to patents
• Forecasting conditional correlations in stock, bond and foreign exchange markets
• Generalized autoregressive conditional heteroscedasticity
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• Testing for a unit root in time series regression
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• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY