Journal article

Multivariate models with long memory dependence in conditional correlation and volatility

Jonathan Dark

Journal of Empirical Finance | ELSEVIER SCIENCE BV | Published : 2018

DOI: 10.1016/j.jempfin.2018.06.011

University of Melbourne Researchers

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5Web of Science
6Scopus

Keywords

Accuracy
Economics
Business & Economics
Multivariate Heavy
Microstructure Noise
Forecast
Heteroskedasticity
Dynamics
Forecasting
Social Sciences
Business, Finance
Stock-Market Volatility
Long Memory
Dynamic Conditional Correlation
Run
Heteroscedasticity
Fractional Integration
Heavy Models