Work

Robust Forecasting of Dynamic Conditional Correlation GARCH Models

Year: 2010

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.1721421

Authors: Kris Boudt, Jon Danielsson, Sébastien Laurent

Institutions: Vrije Universiteit Brussel, Ghent University, Vrije Universiteit Amsterdam, Systemic Risk Centre, London School of Economics and Political Science, Aix-Marseille Sciences Economiques

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W4236643107

Cites: 15

Cited by: 48

Related to: 10