Modelling asset correlations during the recent FInancial crisis: A semiparametric approach
Abstract8000 Aarhus C, Denmark
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Bibliographic InfoPaper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2010-71.
Date of creation: 10 2010
Date of revision:
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Web page: http://www.econ.au.dk/afn/
Semiparametric Conditional Correlation Model; Nonparametric Correlations; DCC; Local Linear Estimator; Portfolio Evaluation.;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-13 (All new papers)
- NEP-ETS-2010-11-13 (Econometric Time Series)
- NEP-FMK-2010-11-13 (Financial Markets)
- NEP-RMG-2010-11-13 (Risk Management)
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