Asymmetric dynamics in the correlations of global equity and bond returns.
This paper proposes a new generalized autoregressive conditionally heteroskedastic (GARCH) process, the asymmetric generalized dynamic conditional correlation (AG-DCC) model. The AG-DCC process extends previous specifications along two dimensions: it allows for series-specific news impact and smooth...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Oxford University Press
2006
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