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• W2029187785 abstract "Abstract We propose a fractionally integrated matrix-exponential dynamic conditional correlation (FIEDCC) model to capture the asymmetric effects and long- and short-range dependence of a correlation process. We also propose employing an inverse Wishart distribution for the disturbance of a covariance structure, which gives an alternative interpretation for a multivariate" @default.
• W2029187785 created "2016-06-24" @default.
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• W2029187785 date "2015-01-01" @default.
• W2029187785 modified "2023-09-30" @default.
• W2029187785 title "Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes" @default.
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• W2029187785 doi "https://doi.org/10.1515/jtse-2013-0012" @default.
• W2029187785 hasPublicationYear "2015" @default.
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