On the estimation of dynamic conditional correlation models

Computational Statistics and Data Analysis

Volumn 56, Issue 11, 2012, Pages 3533-3545

  Hafner, Christian M ^a   Reznikova, Olga ^a  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

DCC; Financial time series; Sample covariance matrix; Shrinkage

Indexed keywords

COVARIANCE MATRIX; ESTIMATION; FINANCIAL DATA PROCESSING; SAMPLING; SHRINKAGE; TIME SERIES;

DYNAMIC CONDITIONAL CORRELATIONS; ESTIMATION METHODS; FINANCIAL TIME SERIES; FINITE SAMPLE PERFORMANCE; IDENTITY MATRICES; MAXIMUM LIKELIHOOD ESTIMATOR; SAMPLE COVARIANCE MATRIX; SINGLE FACTOR MODEL;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 84862025768     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2010.09.022     Document Type: Article

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