09
Dec
09

Modelo GARCH

Leyendo un post del RGE monitor sobre co-movimientos del Dolar y otras variables (tema: carry trade) me cruce con esto:

This short article uses a GARCH framework (see also Frank et al, 2008) to examine the co-movement of the U.S. Dollar with a number of key financial asset prices in recent years. In particular, the Dynamic Conditional Correlation (DCC) GARCH model by Engle (2002) is adopted since standard correlations are potentially biased when examining co-movements and spillover between asset prices especially in the presence of systemic risks and high volatilities (Forbes and Rigobon, 2002)

Les paso un paper de Engle sobre Dynamic Conditional Correlation (DCC) GARCH model. (Link)


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