South African Sector Return Correlations: using DCC and ADCC Multivariate GARCH techniques to uncover the underlying dynamics
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- repec:rfa:aefjnl:v:5:y:2018:i:1:p:14-28 is not listed on IDEAS
- Škrinjarić Tihana, 2015. "Measuring Dynamics of Risk and Performance of Sector Indices on Zagreb Stock Exchange," Croatian Review of Economic, Business and Social Statistics, De Gruyter Open, vol. 1(1-2), pages 27-41, December.
More about this item
KeywordsConditional Variance; Multivariate GARCH; Dynamic Conditional Correlation; Sector Indices;
- 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
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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