Results 141 to 150 of about 41,020 (169)

Clustered Dynamic Conditional Correlation Multivariate GARCH Model

2008
The time-varying correlations between multivariate financial time series have been intensively studied. For example DCC and Block-DCC models have been proposed. In this paper, we present a novel Clustered DCC model which extends the previous models by incorporating clustering techniques.
Tu Zhou, Laiwan Chan
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Conditional correlated jump dynamics in foreign exchange

Economics Letters, 2004
Abstract This paper studies conditional correlated jump dynamics in foreign exchange returns using a new bivariate jump model with autoregressive jump intensities. Using daily data of German Mark against British Pound and Japanese Yen against the US dollar, we find currency return correlations are driven not only by the normal disturbances, but also ...
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Identifying financial time series with similar dynamic conditional correlation

Computational Statistics & Data Analysis, 2010
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Understanding Dynamic Conditional Correlations between Commodities Futures Markets

2016
We estimate dynamic conditional correlations between 10 commodities futures returns in energy, metals and agriculture markets over the period 1998-2014 with a DCC-GARCH model. We look at the factors influencing those correlations, adopting a pooled mean group (PMG) estimator.
Behmiri, Niaz Bashiri, Manera, Matteo, Nicolini, Marcella, Behmiri, Niaz Bashiri, Manera, Matteo, Nicolini, Marcella   +5 more
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A local dynamic conditional correlation model [PDF]

, 2006
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.
openaire  

Mixture Dynamic Conditional Correlation Model

SSRN Electronic Journal, 2010
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Conditional Selection of Genomic Alterations Dictates Cancer Evolution and Oncogenic Dependencies

Cancer Cell, 2017
Marco Mina, Daniele Tavernari, Elena Battistello   +2 more
exaly  

Effects of unconditional and conditional cash transfers on child health and development in Zimbabwe: a cluster-randomised trial

Lancet, The, 2013
Jeffrey W Eaton, Lorraine Sherr, Simon Gregson   +2 more
exaly  

Role of cash in conditional cash transfer programmes for child health, growth, and development: an analysis of Mexico's Oportunidades

Lancet, The, 2008
Paul J Gertler, Lynnette M Neufeld, Lia C H Fernald   +2 more
exaly  

Dynamic Spectral Conditional Correlations

Karim M. Abadir, Georg Michael Rockinger
openaire   +1 more source