Cross-market volatility index with Factor-DCC
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More about this item
KeywordsAsset management; Cross-market index; Factor-DCC; Volatility surprise;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G01 - Financial Economics - - General - - - Financial Crises
- F15 - International Economics - - Trade - - - Economic Integration
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