Multivariate semi-nonparametric distributions with dynamic conditional correlations
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- Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2011. "Multivariate semi-nonparametric distributions with dynamic conditional correlations," International Journal of Forecasting, Elsevier, vol. 27(2), pages 347-364, April.
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More about this item
KeywordsDensity forecasts; Financial markets; GARCH models; Multivariate time series; Semi-nonparametric methods;
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