A Regime Switching for Dynamic Conditional Correlation and GARCH: Application to Agricultural Commodity Prices and Market Risks
© 2018, Springer International Publishing AG, part of Springer Nature. Time varying correlations are often estimated with dynamic conditional correlation, generalized autoregressive conditional heteroskedasticity (DCC-GARCH) models which are based on a linear structure in both GARCH and DCC parts. I...
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| Main Authors: | , , |
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| 格式: | Book Series |
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2018
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| 在線閱讀: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85043974797&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/58581 |
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| 機構: | Chiang Mai University |