Volatility Dependent Dynamic Equicorrelation
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More about this item
KeywordsVolatility; multivariate GARCH; equicorrelation; portfolio allocation;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-06-04 (All new papers)
- NEP-ECM-2016-06-04 (Econometrics)
- NEP-ETS-2016-06-04 (Econometric Time Series)
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