Browsing UiS Business school by Journals "Journal of Empirical Finance"
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Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
(Peer reviewed; Journal article, 2023-01)Models for variances and covariances of asset returns are crucial in risk management and asset allocation. Traditionally, these models were based on daily returns. Daily opening, high, low and closing (OHLC) prices have ... -
Range-based DCC models for covariance and value-at-risk forecasting
(Peer reviewed; Journal article, 2019-08)The dynamic conditional correlation (DCC) model by Engle (2002) is one of the most popular multivariate volatility models. This model is based solely on closing prices. It has been documented in the literature that the ...