Bayesian estimation of a dynamic conditional correlation model with multivariate Skew-Slash innovations
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- Saker Sabkha & Christian De Peretti, 2018. "On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market," Working Papers hal-01710398, HAL.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-07-21 (All new papers)
- NEP-ECM-2014-07-21 (Econometrics)
- NEP-ETS-2014-07-21 (Econometric Time Series)
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