A component model for dynamic correlations

Journal of Econometrics

Volumn 164, Issue 1, 2011, Pages 45-59

  Colacito, Riccardo ^a   Engle, Robert F ^b   Ghysels, Eric ^a,c  

^a UNIVERSITY OF NORTH CAROLINA   (United States)

^b NEW YORK UNIVERSITY   (United States)

^c UNIVERSITY OF NORTH CAROLINA   (United States)

Author keywords

Dynamic correlations; Forecasting; Mixed data sampling

Indexed keywords

COMPONENT MODEL; COMPONENT SPECIFICATION; CORRELATION COMPONENTS; DYNAMIC CORRELATION; ECONOMETRIC ANALYSIS; EMPIRICAL EVIDENCE; GARCH MODELS; MIXED DATA;

SPECIFICATIONS;

EID: 79960342867     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2011.02.013     Document Type: Article

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