11-078/2 - Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails

• Authors
  Xin Zhang, VU University Amsterdam; Drew Creal, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; Andre Lucas, VU University Amsterdam
• Publication date
  May 13, 2011

• Keywords
  Dynamic conditional correlations, Generalized Hyperbolic distributions, Observation driven models
• JEL
  C10, C16, C22, C32