Dynamic equicorrelation

Journal of Business and Economic Statistics

Volumn 30, Issue 2, 2012, Pages 212-228

  Engle, Robert ^a   Kelly, Bryan ^b  

^a NEW YORK UNIVERSITY   (United States)

^b UNIVERSITY OF CHICAGO   (United States)

Author keywords

Conditional covariance; Dynamic conditional correlation; Equicorrelation; Multivariate GARCH

Indexed keywords

EID: 84861914696     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.2011.652048     Document Type: Article

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