M Concepción Ausín
Biographic Data
| ID | 8920628 |
|---|---|
| NAME | M Concepción Ausín |
| GIVEN NAMES | M Concepción |
| FAMILY NAME | Ausín |
| SIGNATURE | AUSÍN M C |
| AFFILIATIONS | Universidad Carlos III de Madrid |
| ORCID | 0000-0003-0904-6542 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2010 |
| LATEST PUBLICATION YEAR | 2010 |
| H-INDEX | 0 |
The Gaussian Mixture Dynamic Conditional Correlation Model
A multivariate generalized autoregressive conditional heteroscedasticity model with dynamic conditional correlations is proposed, in which the individual conditional volatilities follow exponential generalized autoregressive conditional heteroscedasticity models and the standardized innovations follow a mixture of Gaussian distributions. Inference on the model parameters and prediction of future volatilities are addressed by both maximum likeliho…
No prominent works on this page.
The Gaussian Mixture Dynamic Conditional Correlation Model
A multivariate generalized autoregressive conditional heteroscedasticity model with dynamic conditional correlations is proposed, in which the individual conditional volatilities follow exponential generalized autoregressive conditional heteroscedasticity models and the standardized innovations follow a mixture of Gaussian distributions. Inference on the model parameters and prediction of future volatilities are addressed by both maximum likeliho…
Autoregressive conditional heteroskedasticity (1 work) · Autoregressive model (1 work) · Conditional variance (1 work) · Econometrics (1 work) · Economics (1 work) · Finance (1 work) · Financial Risk and Volatility Modeling (1 work) · Heteroscedasticity (1 work) · Market Dynamics and Volatility (1 work) · Mathematics (1 work)