Essays about: "Henrik Stenberg"

Found 1 essay containing the words Henrik Stenberg.

  1. 1. Evaluating Regime Switching in Dynamic Conditional Correlation

    University essay from KTH/Matematisk statistik

    Author : Kristoffer Stenberg; Henrik Wikerman; [2013]
    Keywords : ;

    Abstract : This paper provides a comparative study of the Dynamic Conditional Correlation model introduced by Engle (2002) and the Independent Switching Dynamic Conditional Correlation model introduced by Lee (2010) by evaluating the models for a set of known correlation processes. The evaluation is also extended to cover empirical data to assess the practical performance of the models. READ MORE