Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks-Reference-Cited by-同舟云学术

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Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks

Published:2014-08 Issue: Volume:76 Page:43-60
ISSN:0167-9473
Container-title:Computational Statistics & Data Analysis
language:en
Short-container-title:Computational Statistics & Data Analysis

Author:

Audrino Francesco

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference47 articles.

1. Aielli, G.P., 2008. Consistent estimation of large scale dynamic conditional correlation. Working Paper 48, University of Messina.

2. Aielli, G.P., 2009. Dynamic conditional correlations: on properties and estimation. Working Paper, University of Florence.

3. Joint forecasts of Dow Jones stocks under general multivariate loss function;Alp;Computational Statistics & Data Analysis,2010

4. The impact of general non-parametric volatility functions in multivariate GARCH models;Audrino;Computational Statistics & Data Analysis,2006

5. Functional gradient descent for financial time series with an application to the measurement of market risk;Audrino;Journal of Banking and Finance,2005

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