Modelling asset correlations during the recent FInancial crisis: A semiparametric approach
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- Aslanidis, Nektarios & Martínez Ibáñez, Óscar, 2012. "Modelling world investment markets using threshold conditional correlation models," Working Papers 2072/203167, Universitat Rovira i Virgili, Department of Economics.
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More about this item
Keywords
Semiparametric Conditional Correlation Model; Nonparametric Correlations; DCC; Local Linear Estimator; Portfolio Evaluation.;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2010-11-13 (Econometric Time Series)
- NEP-FMK-2010-11-13 (Financial Markets)
- NEP-RMG-2010-11-13 (Risk Management)
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