Essays about: "Henrik Stenberg"
Found 1 essay containing the words Henrik Stenberg.
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1. Evaluating Regime Switching in Dynamic Conditional Correlation
University essay from KTH/Matematisk statistikAbstract : 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
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