Robust forecasting of dynamic conditional correlation GARCH models

International Journal of Forecasting

Volumn 29, Issue 2, 2013, Pages 244-257

  Boudt, Kris ^a   Daníelsson, Jón ^b   Laurent, Sébastien ^c,d  

^a VU UNIVERSITY AMSTERDAM   (Netherlands)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^c MAASTRICHT UNIVERSITY   (Netherlands)

^d UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

Conditional covariance; Forecasting; Jumps

Indexed keywords

EID: 84871595578     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2012.06.003     Document Type: Article

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