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Glück, Thorsten W.'s
Scholarly Papers
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145 |
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1.
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Spurious Dynamic Conditional Correlation
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Füss, Roland
University of St. Gallen Glück, Thorsten W.
European Business School (EBS) Wiesbaden, Germany - Department of Finance, Accounting and Real Estate Mutl, Jan
affiliation not provided to SSRN
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Posted:
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24 Nov 11
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Last Revised:
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30 Apr 13
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145
(100,709)
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Füss, Roland
University of St. Gallen Glück, Thorsten W.
European Business School (EBS) Wiesbaden, Germany - Department of Finance, Accounting and Real Estate
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Constant conditional correlation, dynamic conditional correlation, multivariate GARCH models, exponential smoother, moving average filter, spurious correlation
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Füss, Roland
University of St. Gallen Glück, Thorsten W.
European Business School (EBS) Wiesbaden, Germany - Department of Finance, Accounting and Real Estate Mutl, Jan
affiliation not provided to SSRN
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24 Nov 11
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Last Revised:
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13 Nov 12
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145
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Multivariate GARCH models; dynamic conditional correlation (DCC); constant conditional correlation; rolling window estimator; volatility of conditional correlation; spurious correlation.
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