Dynamic Conditional Correlations for Asymmetric Processes

Detailed bibliographic record

Summary, etc.：: The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (WDCC) model and the Matrix-Exponential Conditional Correl...

Search by Bookstore

This page shows libraries in Japan other than the National Diet Library that hold the material.

Please contact your local library for information on how to use materials or whether it is possible to request materials from the holding libraries.

other

Kyoto University Research Information Repository
Digital
You can check the holdings of institutions and databases with which Institutional Repositories DataBase(IRDB)(Institutional Repository) is linked at the site of Institutional Repositories DataBase(IRDB)(Institutional Repository).
Kyoto University Research Information Repository

You can check the details of this material, its authority (keywords that refer to materials on the same subject, author's name, etc.), etc.

Material Type: 文書・図像類
Title: Dynamic Conditional Correlations for Asymmetric Processes
Author/Editor: Asai, Manabu
McAleer, Michael
Author Heading: Asai, Manabu
McAleer, Michael
Publication, Distribution, etc.: Institute of Economic Research, Kyoto University
Publication Date: 2010-12
Publication Date (W3CDTF): 2010-12
Periodical title: KIER Discussion Paper
No. or year of volume/issue: 747
Volume: 747
Text Language Code: eng
Subject Heading: Dynamic conditional correlations
Matrix exponential model
Wishart process
EGARCH
GJR
asymmetric BEKK
heavy-tailed errors
NDC: 330
Target Audience: 一般
Format (IMT): application/pdf
Source: DP747.pdf （fulltext）
http://repository.kulib.kyoto-u.ac.jp/dspace/bitstream/2433/134629/1/DP747.pdf
Access Restrictions: インターネット公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 京都大学 : 京都大学学術情報リポジトリ