On the forecasting of multivariate financial time series using hybridization of DCC-GARCH model and multivariate ANNs
Author:
Publisher
Springer Science and Business Media LLC
Subject
Artificial Intelligence,Software
Link
https://link.springer.com/content/pdf/10.1007/s00521-022-07631-5.pdf
Reference54 articles.
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2. Bollerslev T (1986) Generalized autoregressive conditional heteroskedasticity. J Economet 31(3):307–327
3. Engle RF, Kroner KF (1995) Multivariate simultaneous generalized ARCH. Economet Theory 11(1):122–150
4. Bollerslev T (1990) Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model. Rev Econ Stat. https://doi.org/10.2307/2109358
5. Engle RF, Sheppard K (2001) Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH. National Bureau of Economic Research, Inc
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