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

• المؤلفون الرئيسيون: Benchawanaree Chodchuangnirun, Woraphon Yamaka, Chatchai Khiewngamdee
• التنسيق: Book Series
• منشور في: 2018
• الموضوعات: Computer Science; Mathematics
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85043974797&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/58581

© 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...