Forecasting time-varying covariance with a range-based dynamic conditional correlation model
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Bibliographic InfoArticle provided by Springer in its journal Review of Quantitative Finance and Accounting.
Volume (Year): 33 (2009)
Issue (Month): 4 (November)
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Web page: http://springerlink.metapress.com/link.asp?id=102990
CARR; DCC; Dynamic covariance; Range; Volatility; C1; C5; G11;
Find related papers by JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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