Work

Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models

Year: 2009

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.1338190

Authors: Massimiliano Caporin, Michael McAleer

Institutions: University of Padua, Tinbergen Institute, The University of Tokyo, Erasmus University Rotterdam

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1484280822

Cites: 21

Cited by: 40

Related to: 10