A Regime Switching for Dynamic Conditional Correlation and GARCH: Application to Agricultural Commodity Prices and Market Risks

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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書目詳細資料
Main Authors:	Benchawanaree Chodchuangnirun, Woraphon Yamaka, Chatchai Khiewngamdee
格式:	Book Series
出版:	2018
主題:	Computer Science Mathematics
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
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Chiang Mai University

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