Analysis of Dynamic Correlation of Japanese Stock Returns with Network Clustering
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance
Link
http://link.springer.com/article/10.1007/s10690-017-9230-5/fulltext.html
Reference28 articles.
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3. Bollerslev, T. (1990). Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model. The Review of Economics and Statistics, 72(3), 498–505.
4. Demarta, S., & McNeil, A. J. (2005). The t copula and related copulas. International Statistical Review, 73(1), 111–129.
5. Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339–350.
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