Forecasting time-varying covariance with a range-based dynamic conditional correlation model

Review of Quantitative Finance and Accounting

Volumn 33, Issue 4, 2009, Pages 327-345

  Chou, Ray Yeutien ^a,b   Wu, Chun Chou ^c   Liu, Nathan ^b  

^a INSTITUTE OF ECONOMICS   (Taiwan)

^b NATIONAL CHIAO TUNG UNIVERSITY   (Taiwan)

^c NATIONAL KAOHSIUNG UNIVERSITY OF APPLIED SCIENCES   (Taiwan)

Author keywords

CARR; DCC; Dynamic covariance; Range; Volatility

Indexed keywords

EID: 70350379590     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1007/s11156-009-0113-3     Document Type: Article

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