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Multivariate extremes for models with constant conditional correlations

✍ Scribed by Cătălin Stărică


Book ID
117628341
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
538 KB
Volume
6
Category
Article
ISSN
0927-5398

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We propose a simple class of multivariate GARCH models, allowing for timevarying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of averaged correlations (across all series) and dynamic realized (historical) correlations.