A multivariate GARCH model for the non-normal behaviour of financial assets
This thesis extends the dynamic conditional correlation (DCC) model proposed in Engle (2002) to the case of conditional returns supposed to follow an asymmetric multivariate Laplace (AML) distribution as presented in Kotz, Kozubowsky and Podgorski (2003). We prove that maximum likelihood estimator p...
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City University London
2007
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.441532 |