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21-083/IV - Pooling Dynamic Conditional Correlation Models


  • Authors
    Bram van Os, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam
  • Publication date
    September 16, 2021
  • Keywords
    Dynamic conditional correlation; Equicorrelation; Mixture model; Composite likelihood; Nonlinear shrinkage
  • JEL
    C53, C58, C32