Modelling asset correlations during the recent FInancial crisis: A semiparametric approach
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More about this item
KeywordsSemiparametric Conditional Correlation Model; Nonparametric Correlations; DCC; Local Linear Estimator; Portfolio Evaluation.;
- 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)
NEP fieldsThis 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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