Munich Personal RePEc Archive
metadata only
A local dynamic conditional correlation model
This paper introduces the idea that the variances or correlations in financial returns may all change conditionally and slowly over time. A multi-step local dynamic conditional correlation model is proposed for simultaneously modelling these components. In particular, the local and conditional corr
Conceptio Open Archive
Analyze & explore related research in Conceptio
Connect this record directly into your research workflow or AI agent. Explore citations across open repositories, query full text, and export structured proof bundles.
This document is indexed with metadata only: full text is not available in the archive for this record. Open the official source ↗
Related documents
- Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH#942356
- Generalized fractional time series modelling of the relationship between consumption and income in the Uk#401769
- Quantum generative modeling for financial time series with temporal correlations#149323
- Interdependence of Income between China and ASEAN-5 Countries#1274879
- On the Pricing of American Options under Stochastic Local Volatility and Stochastic Correlation via the RBSDE Framework#1156459
Record · ID 1274568
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Bring this data into your agent: Connect via MCP or API · 20 free credits to start · no card required
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive