Forecasting time-varying covariance with a range-based dynamic conditional correlation model

Ray Chou, Chun-Chou Wu () and Nathan Liu ()

Review of Quantitative Finance and Accounting, 2009, vol. 33, issue 4, 327-345

Keywords: CARR; DCC; Dynamic covariance; Range; Volatility; C1; C5; G11 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s11156-009-0113-3

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