Forecasting time-varying covariance with a range-based dynamic conditional correlation model
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More about this item
KeywordsCARR; DCC; Dynamic covariance; Range; Volatility; C1; C5; G11;
- 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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